Society for Computational Economics - Computing in Economics and Finance, 2015

Taipei, Taiwan

 

Program Notes and Index of Sessions

 

Summary of All Sessions

Click here for an index of all participants

Session
ID code
Date/TimeLocationTitlePapersOrganizer
81June 20, 2015
8:30-10:00
Room 201 A1 Macro Labor4Francesco Furlanetto
14June 20, 2015
8:30-10:00
Room 202 A2 Modelling Financial Stress4Gary Anderson
32June 20, 2015
8:30-10:00
Room 203 A3 Agent-based Modeling: Finance and Macroeconomy4Mikhail Anufriev
26June 20, 2015
8:30-10:00
Room 204 A4 Monetary Policy, Uncertainty, and the Zero Lower Bound4Thomas Lubik
34June 20, 2015
8:30-10:00
Room 205 A5 Complex Financial Networks4Wei-Xing Zhou
86June 20, 2015
8:30-10:00
Room 101 A6 Empirical Finance I4Carl Chiarella
54June 20, 2015
8:30-10:00
Room 103 A7 Labor Search and Economic Growth4Been-Lon Chen
82June 20, 2015
10:20-11:50
Room 201 B1 Open-Macro and Energy3Francesco Furlanetto
16June 20, 2015
10:20-11:50
Room 202 B2 Nonlinear Solution Methods I4Gary Anderson
33June 20, 2015
10:20-11:50
Room 203 B3 Modeling Economic Networks4Mikhail Anufriev
27June 20, 2015
10:20-11:50
Room 204 B4 Monetary Policy: Theory and Practice4Thomas Lubik
37June 20, 2015
10:20-11:50
Room 205 B5 Econophysics I4Wei-Xing Zhou
87June 20, 2015
10:20-11:50
Room 101 B6 Empirical Finance II4Carl Chiarella
55June 20, 2015
10:20-11:50
Room 103 B7 Optimal Taxes and Debt4Been-Lon Chen
83June 20, 2015
12:40-14:10
Room 201 C1 Monetary and Fiscal Policy4Francesco Furlanetto
15June 20, 2015
12:40-14:10
Room 202 C2 Nonlinear Solution Methods II3Gary Anderson
79June 20, 2015
12:40-14:10
Room 203 C3 Agent-based Modeling of Business Cycles4Jasmina Arifovic
28June 20, 2015
12:40-14:10
Room 204 C4 Search in the Labor Market and Employment Outcomes4Thomas Lubik
35June 20, 2015
12:40-14:10
Room 205 C5 Econophysics II4Wei-Xing Zhou
88June 20, 2015
12:40-14:10
Room 101 C6 Financial Markets and Heterogeneity3Carl Chiarella
56June 20, 2015
12:40-14:10
Room 103 C7 Financial and Monetary Policies4Been-Lon Chen
69June 20, 2015
15:30-17:00
Room 201 D1 Solving Dynamic Economic Models I3Peter Zadrozny
17June 20, 2015
15:30-17:00
Room 202 D2 Heterogeneous Agents4Gary Anderson
94June 20, 2015
15:30-17:00
Room 203 D3 Productivity, Growth and Business Cycles4Shu-Heng Chen
29June 20, 2015
15:30-17:00
Room 204 D4 Business Cycles in Small Open Economies: Theory and Empirics4Thomas Lubik
36June 20, 2015
15:30-17:00
Room 205 D5 Microstructure and Investor Behavior4Wei-Xing Zhou
89June 20, 2015
15:30-17:00
Room 101 D6 Volatility and Finance4Carl Chiarella
50June 20, 2015
15:30-17:00
Room 103 D7 Agent-based Models: Empirical Regularities and Economic Policy4Thomas Lux
84June 20, 2015
15:30-17:00
Convention Hall D8 Macrofinance3Francesco Furlanetto
70June 21, 2015
8:00-9:30
Room 201 E1 Time Series Econometrics4Peter Zadrozny
18June 21, 2015
8:00-9:30
Room 202 E2 Modeling Stock and Energy Prices4Gary Anderson
43June 21, 2015
8:00-9:30
Room 203 E3 Agent-based Macro Models I4Cars Hommes
30June 21, 2015
8:00-9:30
Room 204 E4 TVP-VARs: Challenges and New Developments3Thomas Lubik
38June 21, 2015
8:00-9:30
Room 205 E5 Econophysics III4Wei-Xing Zhou
91June 21, 2015
8:00-9:30
Room 101 E6 Risk, Investment and Banking4Carl Chiarella
58June 21, 2015
8:00-9:30
Room 103 E7 Housing Dynamics and Economic Growth4Been-Lon Chen
85June 21, 2015
8:00-9:30
Convention Hall E8 Open Economy Macroeconomics4Francesco Furlanetto
21June 21, 2015
11:00-12:30
Room 201 F1 Exchange Rates, Spreads, and Asset Pricing 4Kevin Lansing
74June 21, 2015
11:00-12:30
Room 202 F2 Measuring Risks in Financial Assets4Francesco Ravazzolo
44June 21, 2015
11:00-12:30
Room 203 F3 Agent-based Macro Models II4Cars Hommes
31June 21, 2015
11:00-12:30
Room 204 F4 Empirical Trade Models3Thomas Lubik
39June 21, 2015
11:00-12:30
Room 205 F5 Experimental Study of Learning and Searching Behavior3Chung-Ching Tai
92June 21, 2015
11:00-12:30
Room 101 F6 Valuation and Pricing4Carl Chiarella
59June 21, 2015
11:00-12:30
Room 103 F7 Population, Health and Social Security4Been-Lon Chen
22June 21, 2015
13:30-15:00
Room 201 G1 Monetary Policy I4Kevin Lansing
75June 21, 2015
13:30-15:00
Room 202 G2 Econometrics I4Francesco Ravazzolo
45June 21, 2015
13:30-15:00
Room 203 G3 Laboratory Experiments4Cars Hommes
42June 21, 2015
13:30-15:00
Room 204 G4 Sources of Business Cycles: A Euro Area Perspective4Thomas Lubik
40June 21, 2015
13:30-15:00
Room 205 G5 Asset Market Experiments with Human Subjects3Chung-Ching Tai
64June 21, 2015
13:30-15:00
Room 101 G6 Dynamics of Limit Order Markets4Xue-Zhong He
51June 21, 2015
13:30-15:00
Room 103 G7 Agent-based Modeling I4Akira Namatame
23June 21, 2015
15:20-16:50
Room 201 H1 Fiscal Policy and Production 4Kevin Lansing
76June 21, 2015
15:20-16:50
Room 202 H2 Econometrics II4Francesco Ravazzolo
46June 21, 2015
15:20-16:50
Room 203 H3 Expectations and Learning4Cars Hommes
60June 21, 2015
15:20-16:50
Room 204 H4 Macrodynamics of Inequality in Closed and Open Economies4Paul McNelis
41June 21, 2015
15:20-16:50
Room 205 H5 Intention, Reciprocity, and Motivation: Evidence from the Lab3Chung-Ching Tai
65June 21, 2015
15:20-16:50
Room 101 H6 Asset Pricing and Portfolio Optimization: Heterogeneous Beliefs4Xue-Zhong He
52June 21, 2015
15:20-16:50
Room 103 H7 Agent-based Modeling II4Akira Namatame
78June 22, 2015
8:00-9:30
Room 201 I1 Solving Dynamic Economic Models II3Peter Zadrozny
71June 22, 2015
8:00-9:30
Room 202 I2 Empirical Macroeconomics I4Michel Juillard
47June 22, 2015
8:00-9:30
Room 203 I3 Agent-based Models of Finance I4Cars Hommes
61June 22, 2015
8:00-9:30
Room 204 I4 Reform and Pricing Dynamics4Paul McNelis
2June 22, 2015
8:00-9:30
Room 205 I5 Nonlinear and Machine Learning Methods in Finance4Germán Creamer
66June 22, 2015
8:00-9:30
Room 101 I6 Asset Pricing and Portfolio Optimization: Optimal Strategies 4Xue-Zhong He
53June 22, 2015
8:00-9:30
Room 103 I7 Agent-based Modeling III4Akira Namatame
24June 22, 2015
8:00-9:30
Conference Room I8 House Prices, Mortgage Debt, and Consumer Credit4Kevin Lansing
25June 22, 2015
11:00-12:30
Room 201 J1 Information Frictions and Monetary Policy4Kenneth Kasa
72June 22, 2015
11:00-12:30
Room 202 J2 Labor Market and Business Cycle4Michel Juillard
48June 22, 2015
11:00-12:30
Room 203 J3 Agent-based Models of Finance II4Cars Hommes
62June 22, 2015
11:00-12:30
Room 204 J4 Monetary Policy II4Paul McNelis
77June 22, 2015
11:00-12:30
Room 205 J5 Banks, Monetary Policy and Pass-Through4Robert Tetlow
67June 22, 2015
11:00-12:30
Room 101 J6 Asset Pricing and Portfolio Optimization: Market Stability and Liquidity4Xue-Zhong He
57June 22, 2015
11:00-12:30
Room 103 J7 Indeterminacy and Stability4Been-Lon Chen
90June 22, 2015
13:30-15:00
Room 201 K1 Monetary Policy in Closed and Open Economies4Robert Tetlow
73June 22, 2015
13:30-15:00
Room 202 K2 Empirical Macroeconomics II4Michel Juillard
80June 22, 2015
13:30-15:00
Room 203 K3 Computational Social Sciences4Shu-Heng Chen
63June 22, 2015
13:30-15:00
Room 204 K4 Macrodynamic Models4Paul McNelis
93June 22, 2015
13:30-15:00
Room 205 K5 Computational Methods3Wei Zhang
68June 22, 2015
13:30-15:00
Room 101 K6 Asset Pricing and Portfolio Optimization: Empirical Asset Pricing4Xue-Zhong He
49June 22, 2015
13:30-15:00
Room 103 K7 Agent-based Models: Simulation, Calibration and Estimation4Thomas Lux
 

80 sessions, 308 papers, and 0 presentations with no associated papers


 

Society for Computational Economics - Computing in Economics and Finance, 2015

Detailed List of Sessions

 
Session ID 81: A1 Macro Labor
June 20, 2015 8:30 to 10:00
Room 201
 
Session Organizer: Francesco Furlanetto, Norges Bank
Session Chair: Ioana Moldovan, University of Glasgow
 

Labor Supply Factors and Economic Fluctuations
By Claudia Foroni; Norges Bank
Francesco Furlanetto; Norges Bank
Antoine Lepetit; Paris 1 - Paris School of Economics
   Presented by: Francesco Furlanetto, Norges Bank
 

Endogenous Separations, Wage Rigidities and Employment Volatility
By Mikael Carlsson; Uppsala University
Andreas Westermark; Sveriges Riksbank
   Presented by: Andreas Westermark, Sveriges Riksbank
 

Remittances, Entrepreneurship and Employment Dynamics over the Business Cycle
By Alan Finkelstein Shapiro; Universidad de los Andes, Colombia
Federico Mandelman; Federal Reserve Bank of Atlanta
   Presented by: Federico Mandelman, Federal Reserve Bank of Atlanta
 

Stabilisation Policy in a New Keynesian Model with Job Search, Skills Erosion and Growth Effects
By Campbell Leith; University of Glasgow
Ioana Moldovan; University of Glasgow
Simon Wren-Lewis; University of Oxford
   Presented by: Ioana Moldovan, University of Glasgow
 
Session ID 14: A2 Modelling Financial Stress
June 20, 2015 8:30 to 10:00
Room 202
 
Session Organizer: Gary Anderson, Board of Governors, Federal Reserve
Session Chair: Gary Anderson, Board of Governors, Federal Reserve
 

A New Estimation Technique of Sovereign Default Risk
By Mehmet Soytas; Ozyegin University
Engin Volkan; Istanbul Bilgi University
   Presented by: Engin Volkan, Istanbul Bilgi University
 

Rare Disasters on Financial Markets and Policy Responses
By Daeyup Lee; Bank of Korea
   Presented by: Daeyup Lee, Bank of Korea
 

Financial Stability and Optimal Interest-Rate Policy
By Andrea Ajello; Board of Governors of the Federal Reserv
Thomas Laubach; Federal Reserve Board
J. David Lopez-Salido; Federal Reserve Board
Taisuke Nakata; Federal Reserve Board
   Presented by: Andrea Ajello, Board of Governors of the Federal Reserv
 

Financial System Stress: From Empirical Validity to Theoretical Foundations
By Mikhail Oet; Case Western Reserve University, Federal Reserve Bank of Cleveland
John Dooley; Federal Reserve Bank of Cleveland
   Presented by: Mikhail Oet, Case Western Reserve University, Federal Reserve Bank of Cleveland
 
Session ID 32: A3 Agent-based Modeling: Finance and Macroeconomy
June 20, 2015 8:30 to 10:00
Room 203
 
Session Organizer: Mikhail Anufriev, University of Technology Sydney
Session Chair: Ryuichi Yamamoto, Waseda University
 

The Spatial Allocation of Renewable Power Infrastructure: An Economic Assessment of Energy Landscapes with an Agent-based Modelling Approach
By Thomas Lauf; UFZ - Centre for Environmental Research
   Presented by: Thomas Lauf, UFZ - Centre for Environmental Research
 

Inequality, Household Debt and Financial Instability: An Agent-Based Perspective
By Alberto Cardaci; Lombardy Advanced School of Economic Research - L.A.S.E.R.
   Presented by: Alberto Cardaci, Lombardy Advanced School of Economic Research - L.A.S.E.R.
 

Finance-Growth Relationship: Virtuous and Dis-Virtuous Cycles Theory and Empirical Evidence
By Eliana Lauretta; University of Birmingham
Jane Binner; University of Birmingham
Logan Kelly; University of Wisconsin - River Falls
Sajid Chaudhry; Swansea University
   Presented by: Eliana Lauretta, University of Birmingham
 

The Impact of High-Frequency Trading on Market Euality
By Ryuichi Yamamoto; Waseda University
   Presented by: Ryuichi Yamamoto, Waseda University
 
Session ID 26: A4 Monetary Policy, Uncertainty, and the Zero Lower Bound
June 20, 2015 8:30 to 10:00
Room 204
 
Session Organizer: Thomas Lubik, Federal Reserve Bank of Richmond
Session Chair: Nathaniel Throckmorton, College of William & Mary
 

The Effects of Monetary Policy Announcements at the Zero Lower Bound
By Natsuki Arai; National Chengchi University
   Presented by: Natsuki Arai, National Chengchi University
 

Heterogeneity in the Dynamic Effects of Uncertainty on Investment
By Sungje Byun; University of California, San Diego
Soojin Jo; Bank of Canada
   Presented by: Soojin Jo, Bank of Canada
 

Macroeconomic Uncertainty and its Impact on Real Activity: Investigating Two Different Measures of Uncertainty
By Seohyun Lee; UCL
   Presented by: Seohyun Lee, UCL
 

The Zero Lower Bound and Endogenous Uncertainty
By Michael Plante; Federal Reserve Bank of Dallas
Alexander Richter; Auburn University
Nathaniel Throckmorton; College of William & Mary
   Presented by: Nathaniel Throckmorton, College of William & Mary
 
Session ID 34: A5 Complex Financial Networks
June 20, 2015 8:30 to 10:00
Room 205
 
Session Organizer: Wei-Xing Zhou, East China University of Science and Technology
Session Chair: Jae Woo Lee, Inha University
 

Complex Networks for Central Banks: An Empirical Analysis of the United Kingdom’s Consumer Price Index
By Periklis Gogas; Democritus University of Thrace
Theophilos Papadimitriou; Democritus University of Thrace
Georgios Sarantitis; Democritus University of Thrace
   Presented by: Georgios Sarantitis, Democritus University of Thrace
 

The Ability of Securities Market Network to Prevent Systemic Risk
By Gang-Jin Wang; Hunan University
   Presented by: Gang-Jin Wang, Hunan University
 

Six Degrees of Separation on Global Inter-Firm Relationships
By Takayuki Mizuno
   Presented by: Takayuki Mizuno,
 

Speculative Attraction Network as Anatomy Before Large Financial Sell-offs: Empirical Study from Chinese Stock Markets
By Li Lin; ECUST
   Presented by: Li Lin, ECUST
 
Session ID 86: A6 Empirical Finance I
June 20, 2015 8:30 to 10:00
Room 101
 
Session Organizer: Carl Chiarella, University of Technology Sydney
Session Chair: José Da Fonseca, Auckland University of Technology
 

Hedge Fund Performance Persistence over Different Market Conditions: Only Winners in Tough Times Repeat
By Zheng Sun; University of California, Irvine
Ashley Wang; Board of Governors of the Federal Reserv
Lu Zheng; university of california, irvine
   Presented by: Ashley Wang, Board of Governors of the Federal Reserv
 

An Investigation on the Magnitude of Time-Varying and Quantile-Varying Relationship Between Price and Trading Volume: V-type or Increasing-type Pattern
[slides]
By Kuang-Liang Chang; National Chiayi University, Taiwan
   Presented by: Kuang-Liang Chang, National Chiayi University, Taiwan
 

Shock Transfer by Arbitrage Trading and the Role of Circuit Breakers
By Takuma Torii; The University of Tokyo
Kiyoshi Izumi; The University of Tokyo
Kenta Yamada; The University of Tokyo
   Presented by: Takuma Torii, The University of Tokyo
 

Options on Leveraged ETF: Calibrations and Error Analysis
By José Da Fonseca; Auckland University of Technology
Yahua Xu; Auckland Univeristy of Technology
   Presented by: José Da Fonseca, Auckland University of Technology
 
Session ID 54: A7 Labor Search and Economic Growth
June 20, 2015 8:30 to 10:00
Room 103
 
Session Organizer: Been-Lon Chen, Academia Sinica
Session Chair: Lei Fang, Federal Reserve Bank of Atlanta
 

Labor Force and Relationship Between Long-run Growth and Unemployment
[slides]
By Been-Lon Chen; Academia Sinica
Mei Hsu; National Taiwan Normal University
Chih-Fang Lai; Academia Sinica
   Presented by: Been-Lon Chen, Academia Sinica
 

The Impact of Uncertainty Shocks on the Job-Finding Rate and Separation Rate
By Markus Riegler; LSE
   Presented by: Markus Riegler, LSE
 

Layoff Taxes, Unemployment Insurance, and Business Cycle Fluctuations
By Steffen Ahrens; Technische Universität Berlin
Philipp Pfeiffer; Technische Universität Berlin
   Presented by: Steffen Ahrens, Technische Universität Berlin
 

Human Capital Dynamics and the U.S. Labor Market
By Lei Fang; Federal Reserve Bank of Atlanta
Jun Nie; Federal Reserve Bank of Kansas City
   Presented by: Lei Fang, Federal Reserve Bank of Atlanta
 
Session ID 82: B1 Open-Macro and Energy
June 20, 2015 10:20 to 11:50
Room 201
 
Session Organizer: Francesco Furlanetto, Norges Bank
Session Chair: Drago Bergholt, Norges Bank
 

Notes on the Underground: Monetary Policy in Resource-Rich Economies
By Andrea Ferrero; University of Oxford
Martin Seneca; Bank of England
   Presented by: Martin Seneca, Bank of England
 

Green Policies, Energy Efficiency and Vintage Effects
By Giuseppe Fiori; North Carolina State University
   Presented by: Giuseppe Fiori, North Carolina State University
 

Oil Exports and the Reallocation Effects of Terms of Trade Fluctuations
By Drago Bergholt; Norges Bank
Martin Seneca; Bank of England
   Presented by: Drago Bergholt, Norges Bank
 
Session ID 16: B2 Nonlinear Solution Methods I
June 20, 2015 10:20 to 11:50
Room 202
 
Session Organizer: Gary Anderson, Board of Governors, Federal Reserve
Session Chair: Gary Anderson, Board of Governors, Federal Reserve
 

Extended-path Algorithms in Dynare
By Michel Juillard; Banque de France
   Presented by: Michel Juillard, Banque de France
 

Probability Perturbations
By Koen Vermeylen; University of Amsterdam
   Presented by: Koen Vermeylen, University of Amsterdam
 

A Solution Strategy for Occasionally Binding Constraints in Otherwise Linear Rational Expectations Models
[slides]
By Gary Anderson; Board of Governors, Federal Reserve
   Presented by: Gary Anderson, Board of Governors, Federal Reserve
 

Lower Bounds on Approximation Errors: Testing the Hypothesis That a Numerical Solution Is Accurate
By Kenneth Judd; Hoover Institution
Lilia Maliar; Stanford University
Serguei Maliar; Santa Clara University
   Presented by: Lilia Maliar, Stanford University
 
Session ID 33: B3 Modeling Economic Networks
June 20, 2015 10:20 to 11:50
Room 203
 
Session Organizer: Mikhail Anufriev, University of Technology Sydney
Session Chair: David Goldbaum, University of Technology Sydney
 

Endogenous Network Topology in the Interbank Lending Market
By Mikhail Anufriev; University of Technology Sydney
Andrea Deghi; Università degli Studi di Siena
Valentyn Panchenko; UNSW
Paolo Pin; Università degli Studi di Siena
   Presented by: Valentyn Panchenko, UNSW
 

Additive Model with Endogenous Network Formation
[slides]
By Julian TszKin Chan; Boston University
   Presented by: Julian TszKin Chan, Boston University
 

Aggregation Problem in the DSGE Model
By Lian-Sheng Yang; Nanjing University of Science and Technology
Chia-Ling Chang; NCCU
Yi-Heng Tseng; Yuan Ze University, Taiwan
   Presented by: Lian-Sheng Yang, Nanjing University of Science and Technology
 

Emergent Coordination Among Competitors
By David Goldbaum; University of Technology Sydney
AJ Bostian
   Presented by: David Goldbaum, University of Technology Sydney
 
Session ID 27: B4 Monetary Policy: Theory and Practice
June 20, 2015 10:20 to 11:50
Room 204
 
Session Organizer: Thomas Lubik, Federal Reserve Bank of Richmond
Session Chair: Julio Carrillo, Banco de Mexico
 

Transparency, Expectations Anchoring and the Inflation Target
By Guido Ascari; University of Oxford
Anna Florio; Politecnico di milano
Alessandro Gobbi; Università Cattolica del Sacro Cuore
   Presented by: Alessandro Gobbi, Università Cattolica del Sacro Cuore
 

Did the U.S. Phillips Curve Tradeoff Change?
By Benjamin Wong; Reserve Bank of New Zealand
   Presented by: Benjamin Wong, Reserve Bank of New Zealand
 

Monetary Policy as an Optimum Currency Area Criterion
By Dominik Groll; Kiel Institute for the World Economy
   Presented by: Dominik Groll, Kiel Institute for the World Economy
 

Identification of a Monetary Policy Shock in a Small Open Economy
By Rocio Elizondo; Banco de Mexico
Julio Carrillo; Banco de Mexico
   Presented by: Julio Carrillo, Banco de Mexico
 
Session ID 37: B5 Econophysics I
June 20, 2015 10:20 to 11:50
Room 205
 
Session Organizer: Wei-Xing Zhou, East China University of Science and Technology
Session Chair: Wei-Xing Zhou, East China University of Science and Technology
 

Detrended Fluctuation Analysis as a Regression Framework: Estimating Dependence at Different Scales
By Ladislav Kristoufek; Czech Academy of Sciences
   Presented by: Ladislav Kristoufek, Czech Academy of Sciences
 

Stability and Group Dynamics of the World Stock Indices
By Jae Woo Lee; Inha University
   Presented by: Jae Woo Lee, Inha University
 

Anomalous Variance Scaling in High Frequency Financial Data
By Noemi Nava; University College London
Tiziana Di Matteo; King's College London
Tomaso Aste; University College London
   Presented by: Noemi Nava, University College London
 

Financial Systemic Risk Based on Liquidity Dynamic Allocation in Interbank Network
By Han Fu; Beijing Normal University
zhongjin Li; Beijing Normal University
Honggang Li; Beijing Normal University
   Presented by: Honggang Li, Beijing Normal University
 
Session ID 87: B6 Empirical Finance II
June 20, 2015 10:20 to 11:50
Room 101
 
Session Organizer: Carl Chiarella, University of Technology Sydney
Session Chair: Yuet-Yee Linda Wong,
 

Modelling Range Data using CARR Models in Finance
By Jennifer Chan; The University of Sydney
Kok Haur Ng; University of Malaya
Kooi Huat Ng; Universiti Tunku Abdul Rahman
Shelton Peiris; The University of Sydney
   Presented by: Kok Haur Ng, University of Malaya
 

Insurance-Growth Nexus: Evidence from Cross Country Panel Data
By Rudra Pradhan; VGSOM
   Presented by: Rudra Pradhan, VGSOM
 

Forecasting Emerging Market Yield Spreads
By Alena Audzeyeva; Keele University
Ana-Maria Fuertes; Cass Business School, City University London
   Presented by: Alena Audzeyeva, Keele University
 

Dynamic Venture Capital Funding Duration with Entrepreneur- and Capitalist-Specific Effects
By Yuet-Yee Linda Wong
   Presented by: Yuet-Yee Linda Wong,
 
Session ID 55: B7 Optimal Taxes and Debt
June 20, 2015 10:20 to 11:50
Room 103
 
Session Organizer: Been-Lon Chen, Academia Sinica
Session Chair: Shuhei Takahashi, Kyoto University
 

Dynamic Mirrleesian Taxation with Capital-Skill Complementarity
By Yi-Chan Tsai; National Taiwan University
C.C. Yang; Academia Sinica
Hsin-Jung Yu; National Taiwan University
   Presented by: Hsin-Jung Yu, National Taiwan University
 

Optimal Capital Income Taxes in a Representative-agent Model with Progressive Tax Schedules
By Been-Lon Chen; Academia Sinica
Chih-Fang Lai; Academia Sinica
   Presented by: Chih-Fang Lai, Academia Sinica
 

Optimal Time-Consistent Monetary, Fiscal and Debt Maturity Policy
By Eric Leeper; Indiana University
Campbell Leith; University of Glasgow
Ding Liu; University of Glasgow
   Presented by: Ding Liu, University of Glasgow
 

The Optimum Quantity of Debt for Japan
By Tomoyuki Nakajima; Kyoto University
Shuhei Takahashi; Kyoto University
   Presented by: Shuhei Takahashi, Kyoto University
 
Session ID 83: C1 Monetary and Fiscal Policy
June 20, 2015 12:40 to 14:10
Room 201
 
Session Organizer: Francesco Furlanetto, Norges Bank
Session Chair: Alessandro Cantelmo, City University London
 

Monetary and Fiscal Policy Interactions with Debt Dynamics
By Luisa Lambertini; EPFL
   Presented by: Luisa Lambertini, EPFL
 

Aging and Deflation from a Fiscal Perspective
By Kozo Ueda; Waseda University
   Presented by: Kozo Ueda, Waseda University
 

Banks' Price Setting and Lending Maturity: Evidence from an Inflation-Targeting Economy
By Emiliano Luttini; Banco Central de Chile
Michael Pedersen; Central Bank of Chile
   Presented by: Michael Pedersen, Central Bank of Chile
 

Monetary Policy and the Relative Price of Durable Goods
By Alessandro Cantelmo; City University London
Giovanni Melina; City University London
   Presented by: Alessandro Cantelmo, City University London
 
Session ID 15: C2 Nonlinear Solution Methods II
June 20, 2015 12:40 to 14:10
Room 202
 
Session Organizer: Gary Anderson, Board of Governors, Federal Reserve
Session Chair: Gary Anderson, Board of Governors, Federal Reserve
 

Efficient Perturbation Methods for Solving Switching DSGE Models
By Junior Maih; Norges Bank
   Presented by: Junior Maih, Norges Bank
 

Finite-length Patents and Functional Differential Equations in a Non-scale R&D-based Growth Model
By Hwan C. Lin; University of North Carolina at Charlotte
Larry Shampine; Southern Methodist University
   Presented by: Hwan C. Lin, University of North Carolina at Charlotte
 

Accelerating Implicit Finite Difference Schemes Using a Hardware Optimized Tridiagonal Solver for FPGAs
By Samuel Palmer; University college London
   Presented by: Samuel Palmer, University college London
 
Session ID 79: C3 Agent-based Modeling of Business Cycles
June 20, 2015 12:40 to 14:10
Room 203
 
Session Organizer: Jasmina Arifovic, Simon Fraser University
Session Chair: Jie Wu, Guangzhou Milestone Software Co. Ltd.
 

Cyclicality of Wage Structure and Vintage-Capital-Skill Complementarity
By Gonzalo Castex; Central Bank of Chile
Evgenia Dechter; University of New South Wales
   Presented by: Gonzalo Castex, Central Bank of Chile
 

A Heterogeneous Agent-Based Implementation of Business Cycles in a Barter Economy
By Shyam Gouri Suresh; Davidson College
   Presented by: Shyam Gouri Suresh, Davidson College
 

Stabilization Policies and Long Term Growth: Policy Implications from an Agent-based Macroeconomic Model
By Philipp Harting; Bielefeld University
   Presented by: Philipp Harting, Bielefeld University
 

Construction and Application of an ACE Model Based on Classical Economics
[slides]
By Jie Wu; Guangzhou Milestone Software Co. Ltd.
Xue-Feng Yuan; National Supercomputer Centre in Guangzhou
Guocheng Wang; Chinese Academy of Social Sciences (CASS
Zili Wu; Guangzhou Milestone Software Co. Ltd.
   Presented by: Jie Wu, Guangzhou Milestone Software Co. Ltd.
 
Session ID 28: C4 Search in the Labor Market and Employment Outcomes
June 20, 2015 12:40 to 14:10
Room 204
 
Session Organizer: Thomas Lubik, Federal Reserve Bank of Richmond
Session Chair: Jan Duras, Penn State University
 

Search with Wage Posting Under Sticky Prices
By Andrew Foerster; Federal Reserve Bank of Kansas City
Jose Mustre-del-Rio; Federal Reserve Bank of Kansas City
   Presented by: Andrew Foerster, Federal Reserve Bank of Kansas City
 

Search by Firms and Labor Market Outcomes
By Gonul Sengul; Central Bank of Turkey
   Presented by: Gonul Sengul, Central Bank of Turkey
 

Employment Duration over the Business Cycle: Quits vs. Firings
By Ismail Baydur; ADA University
Toshihiko Mukoyama; University of Virginia
   Presented by: Ismail Baydur, ADA University
 

A Search Model of Unemployment and Inventories
By Jan Duras; Penn State University
   Presented by: Jan Duras, Penn State University
 
Session ID 35: C5 Econophysics II
June 20, 2015 12:40 to 14:10
Room 205
 
Session Organizer: Wei-Xing Zhou, East China University of Science and Technology
Session Chair: Ladislav Kristoufek, Czech Academy of Sciences
 

Can Empirical Mode Decomposition Differentiate Between Market Events Caused by High-Frequency Traders and Market Events Caused by Long-Term Investors? Testing Artificial Price Time Series Generated by a Toy Stock Market Model
By Siew Ann Cheong; Nanyang Technological University
   Presented by: Siew Ann Cheong, Nanyang Technological University
 

Dynamic Evolution of Cross-Correlations in the Chinese Stock Market
By Fei Ren; East China University of Science and Tec
   Presented by: Fei Ren, East China University of Science and Tec
 

Supervision of Banking Networks Using Multivariate Threshold-Minimum Dominating Set (T-MDS)
By Periklis Gogas; Democritus University of Thrace
Maria Matthaiou; Democritus University of Thrace
Theophilos Papadimitriou; Democritus University of Thrace
Benjamin Tabak; Universidade Católica de Brasília
   Presented by: Maria Matthaiou, Democritus University of Thrace
 

Investor Sentiment and Excess Comovement of Chinese Stock Market
By Simone Alfarano; University Jaume I
Dehua Shen; Department of Economics, Universitat Jaume I, Castellón, Spain
Andrea Teglio; Universitat Jaume I
Wei Zhang; Tianjin University
   Presented by: Dehua Shen, Department of Economics, Universitat Jaume I, Castellón, Spain
 
Session ID 88: C6 Financial Markets and Heterogeneity
June 20, 2015 12:40 to 14:10
Room 101
 
Session Organizer: Carl Chiarella, University of Technology Sydney
Session Chair: Corrado Di Guilmi, University Technology Sydney
 

The Network of Dependencies in the Global Stock Market
By Matthias Raddant; Kiel Institute for the World Economy
   Presented by: Matthias Raddant, Kiel Institute for the World Economy
 

Zero-intelligence Analysis of Financial Markets: A Stochastic Combinatorial Approach
By Imon Palit; Monash University
Steve Phelps; University of Essex
Wing Lon Ng; Cap Gemini
   Presented by: Imon Palit, Monash University
 

Exponential Bubble and Linear Trend Under Heterogeneous Expectations
By Wai Mun Chia; Nanyang Technological University
Weihong Huang; Nanyang Technological University
Zichun Huang; Nanyang Technological University
   Presented by: Zichun Huang, Nanyang Technological University
 
Session ID 56: C7 Financial and Monetary Policies
June 20, 2015 12:40 to 14:10
Room 103
 
Session Organizer: Been-Lon Chen, Academia Sinica
Session Chair: William Peterman, Federal Reserve Board of Governors
 

Financial Frictions, Capital Misallocation, and Input-Output Linkages.
By Hsuan-Li Su; UW-Madison
   Presented by: Hsuan-Li Su, UW-Madison
 

Fiscal and Monetary Policies in an Endogenous Growth Model with Banking System and Reserve Markets
By Shu-Hua Chen; National Taipei University
   Presented by: Shu-Hua Chen, National Taipei University
 

Optimality of Inflation and Nominal Income Targeting
By Julio Garin; University of Georgia
Robert Lester; University of Notre Dame
   Presented by: Julio Garin, University of Georgia
 

The Distributional Effects of Monetary Policy in a Life Cycle Model
[slides]
By William Peterman; Federal Reserve Board of Governors
Aeimit Lakdawala; Michigan State University
Tobias Cwik; Federal Reserve Board
   Presented by: William Peterman, Federal Reserve Board of Governors
 
Session ID 69: D1 Solving Dynamic Economic Models I
June 20, 2015 15:30 to 17:00
Room 201
 
Session Organizer: Peter Zadrozny, Bureau of Labor Statistics
Session Chair: Peter Zadrozny, Bureau of Labor Statistics
 

Solving the Incomplete Markets Model with Aggregate Uncertainty Using Intratemporal Consistency
By Erick Sager; Bureau of Labor Statistics
   Presented by: Erick Sager, Bureau of Labor Statistics
 

Risk-Sensitive Linear Approximations
By Alexander Meyer-Gohde; University of Hamburg
   Presented by: Alexander Meyer-Gohde, University of Hamburg
 

A Linear Programming Approach to Concave Approximation and Value Function Iteration
By Ronaldo Carpio; University of International Business & Economics
Takashi Kamihigashi; Kobe University
   Presented by: Ronaldo Carpio, University of International Business & Economics
 
Session ID 17: D2 Heterogeneous Agents
June 20, 2015 15:30 to 17:00
Room 202
 
Session Organizer: Gary Anderson, Board of Governors, Federal Reserve
Session Chair: Gary Anderson, Board of Governors, Federal Reserve
 

A New Keynesian Behavioural Model with Individual Rationality and Heterogeneous Agents
By Paul Levine; University of Surrey
Bo Yang; Xi'an Jiaotong- Liverpool University and University of Surrey
   Presented by: Paul Levine, University of Surrey
 

Computing the Cross-Sectional Distribution to Approximate Stationary Markov Equilibria with Heterogeneous Agents and Incomplete Markets
By Elisabeth Pröhl; Univ. of Geneva, Swiss Finance Institute
   Presented by: Elisabeth Pröhl, Univ. of Geneva, Swiss Finance Institute
 

The Heterogeneous-Agent CompumetriK Toolkit: An Extensible Framework for Solving and Estimating Hetergeneous-Agent Models
By Christopher Carroll; The Johns Hopkins University
Nathan Palmer; George Mason University
   Presented by: Nathan Palmer, George Mason University
 

The Structure of Export Entry Costs
By Andrew McCallum; Federal Reserve Board
   Presented by: Andrew McCallum, Federal Reserve Board
 
Session ID 94: D3 Productivity, Growth and Business Cycles
June 20, 2015 15:30 to 17:00
Room 203
 
Session Organizer: Shu-Heng Chen, National Chengchi University
Session Chair: Damjan Pfajfar, Federal Reserve Board
 

Addressing Household Indebtedness: Monetary, Fiscal or Macroprudential Policy?
By Sami Alpanda; Bank of Canada
Sarah Zubairy; Texas A&M University
   Presented by: Sami Alpanda, Bank of Canada
 

The Effect of Firm Entry on Capacity Utilization and Macroeconomic Productivity
[slides]
By Anthony Savagar; Cardiff University
   Presented by: Anthony Savagar, Cardiff University
 

Climbing atop of Giants’ Shoulders: The Role of Migration in Endogenous Growth
By Thomas Lebesmuehlbacher; University of Georgia
   Presented by: Thomas Lebesmuehlbacher, University of Georgia
 

The Impact of Nominal Rigidities on State-Level Business Cycle Dynamics in the United States
By Maarten de Ridder; University of Cambridge
Damjan Pfajfar; Federal Reserve Board
   Presented by: Damjan Pfajfar, Federal Reserve Board
 
Session ID 29: D4 Business Cycles in Small Open Economies: Theory and Empirics
June 20, 2015 15:30 to 17:00
Room 204
 
Session Organizer: Thomas Lubik, Federal Reserve Bank of Richmond
Session Chair: Ruey Yau, National Central University
 

Financial Integration, Financial Frictions and Business Cycles of Emerging Market Economies
By Tianxiao Zheng; University of Colorado at Boulder
   Presented by: Tianxiao Zheng, University of Colorado at Boulder
 

Business Cycles in Small Open Economies: Evidence from Panel Data Between 1900 and 2013
By Wataru Miyamoto; Bank of Canada
Thuy Lan Nguyen; Santa Clara University
   Presented by: Wataru Miyamoto, Bank of Canada
 

Effects of US Quantitative Easing on Emerging Market Economies
By Saroj Bhattarai; University of Texas Austin
Arpita Chatterjee; University of New South Wales
Woong Yong Park; University of Illinois at Urbana-Champaign
   Presented by: Woong Yong Park, University of Illinois at Urbana-Champaign
 

Estimating Monthly GDP for a Small Open Economy: Structural versus Reduced-Form Mix-Frequency Models
By Ruey Yau; National Central University
   Presented by: Ruey Yau, National Central University
 
Session ID 36: D5 Microstructure and Investor Behavior
June 20, 2015 15:30 to 17:00
Room 205
 
Session Organizer: Wei-Xing Zhou, East China University of Science and Technology
Session Chair: Honggang Li, Beijing Normal University
 

The Research of Investor’s Social Network and the Volatility of Market Price
By Yangrui Zhang; Beijing Normal University
Honggang Li; Beijing Normal University
   Presented by: Yangrui Zhang, Beijing Normal University
 

Computational Experiments Successfully Predict the Emergence of Autocorrelations in Ultra-high-frequency Stock Returns
By Wei-Xing Zhou; East China University of Science and Technology
   Presented by: Wei-Xing Zhou, East China University of Science and Technology
 

Effect of Information Exchange in a Social Network on Investment: A Study of Herd Effect in Group Parrondo Games
By Ho Fai Ma; HKUST
Ka Wai Cheung; HKUST
Ga Ching Lui; HKUST
Degang Wu; HKUST
Kwok Szeto; Hong Kong University of Science and Tech
   Presented by: Ho Fai Ma, HKUST
 

Quantifying Limit-order Book Resiliency After Effective Market Orders in an Order-driven Market: Empirical Analysis of Chinese Stocks
By Hai-Chuan Xu
   Presented by: Hai-Chuan Xu,
 
Session ID 89: D6 Volatility and Finance
June 20, 2015 15:30 to 17:00
Room 101
 
Session Organizer: Carl Chiarella, University of Technology Sydney
Session Chair: Masaaki Kijima, Tokyo Metropolitan University
 

Habit, Production, and the Cross-Section of Stock Returns
By Andrew Chen; Federal Reserve Board
   Presented by: Andrew Chen, Federal Reserve Board
 

Investment Timing, Collateral, and Financing Constraints
By Takashi Shibata; Tokyo Metropolitan University
Michi Nishihara; OSAKA UNIVERSITY
   Presented by: Takashi Shibata, Tokyo Metropolitan University
 

Inferring Volatility in the Heston Model and Its Relatives: An Information Theoretical Approach
By Nils Bertschinger; MPI MIS
Oliver Pfante; MPI MIS
   Presented by: Nils Bertschinger, MPI MIS
 

Analytical Pricing of Barrier Options Under Local Volatility Models
By Masaaki Kijima; Tokyo Metropolitan University
   Presented by: Masaaki Kijima, Tokyo Metropolitan University
 
Session ID 50: D7 Agent-based Models: Empirical Regularities and Economic Policy
June 20, 2015 15:30 to 17:00
Room 103
 
Session Organizer: Thomas Lux, Kiel Institute for the World Economy
Session Chair: Ying-Fang Kao, National Chengchi University
 

Matching Impact of School Admission Mechanisms: An Agent-Based Approach
By Connie Wang; Walden University/AI-Econ Research Center
Shu-Heng Chen; National Chengchi University
Weikai Chen; University of Massachusetts Amherst, USA
   Presented by: Connie Wang, Walden University/AI-Econ Research Center
 

Behavioral Compatibility, ACF and the Emergence of Chinese Stock Market
By Guocheng Wang; Chinese Academy of Social Sciences (CASS
Shiguo Zhang; Graduate School of Chinese Academy of Social Sciences
   Presented by: Guocheng Wang, Chinese Academy of Social Sciences (CASS
 

Follow the Guru or Ride the Wave?
[slides]
By Yanyi Wang; Renmin University of China
Guocheng Wang; Chinese Academy of Social Sciences (CASS
   Presented by: Yanyi Wang, Renmin University of China
 

On the Size Effect of a Simple Agent-Based Macroeconomic Model
By Shu-Heng Chen; National Chengchi University
Ying-Fang Kao; National Chengchi University
Ragupathy Venkatachalam; National Chengchi University
   Presented by: Ying-Fang Kao, National Chengchi University
 
Session ID 84: D8 Macrofinance
June 20, 2015 15:30 to 17:00
Convention Hall
 
Session Organizer: Francesco Furlanetto, Norges Bank
Session Chair: Richard Dennis, University of Glasgow
 

Banks and the Rational Credit Cycle
By Adrian Penalver; Banque de France, PSE
   Presented by: Adrian Penalver, Banque de France, PSE
 

Monetary and Macroprudential Policy Mix: An Institution-Design Approach
By Julio Carrillo; Banco de Mexico
Victoria Nuguer; Banco de México
Jessica Roldan-Pena; Banco de Mexico
   Presented by: Victoria Nuguer, Banco de México
 

Asset Prices, Business Cycles, and Markov-Perfect Fiscal Policy When Agents Are Risk-Sensitive
By Richard Dennis; University of Glasgow
   Presented by: Richard Dennis, University of Glasgow
 
Session ID 70: E1 Time Series Econometrics
June 21, 2015 8:00 to 9:30
Room 201
 
Session Organizer: Peter Zadrozny, Bureau of Labor Statistics
Session Chair: Roderick McCrorie, University of St Andrews
 

Estimating the Dynamic Mixed Hitting-Time Model Using Characteristic Function Based Moments
By Yogo Purwono; University of Indonesia
Irwan Ekaputra; University of Indonesia
Zaafri Husodo; University of Indonesia
   Presented by: Yogo Purwono, University of Indonesia
 

Sigma Point Filters For Dynamic Nonlinear Regime Switching Models
By Andrew Binning; Norges Bank
Junior Maih; Norges Bank
   Presented by: Andrew Binning, Norges Bank
 

Lessons for Forecasting Unemployment in the U.S.: Use Flow Rates, Mind the Trend
By Murat Tasci; Federal Reserve Bank of Cleveland
   Presented by: Murat Tasci, Federal Reserve Bank of Cleveland
 

On the Exact Discrete Analog of a System of Linear Stochastic Differential Equations Driven by Fractional Gaussian Noise
By Roderick McCrorie; University of St Andrews
   Presented by: Roderick McCrorie, University of St Andrews
 
Session ID 18: E2 Modeling Stock and Energy Prices
June 21, 2015 8:00 to 9:30
Room 202
 
Session Organizer: Gary Anderson, Board of Governors, Federal Reserve
Session Chair: Gary Anderson, Board of Governors, Federal Reserve
 

Using Extreme Value Theory and Support Vector Machines to Model and Forecast the Occurrence of Extreme Prices in the German Electricity Market
By Efthymios Stathakis; Democritus University of Thrace
Periklis Gogas; Democritus University of Thrace
Theophilos Papadimitriou; Democritus University of Thrace
   Presented by: Efthymios Stathakis, Democritus University of Thrace
 

China Momentum and Transparency
[slides]
By Tao Fu; Nanfang College of Sun Yat-Sen University
Hungwen Lin; Nanfang College of Sun Yat-Sen University
Hong Xiao; Nanfang College of Sun Yat-Sen University
Na Zhang; Nanfang College of Sun Yat-Sen University
   Presented by: Hungwen Lin, Nanfang College of Sun Yat-Sen University
 

Identification of China Stock Market Forces Under System Adaptation Framework
By Limiao Bai; National University of Singapore
Xiaolian Zheng; National University of Singpaore
Ben Chen; National University of Singapore
   Presented by: Xiaolian Zheng, National University of Singpaore
 

Another Look at Large-Cap Stock Return Comovement: A Semi- Markov-Switching Approach
By Kaihua Deng; University of Washington
   Presented by: Kaihua Deng, University of Washington
 
Session ID 43: E3 Agent-based Macro Models I
June 21, 2015 8:00 to 9:30
Room 203
 
Session Organizer: Cars Hommes, University of Amsterdam
Session Chair: Michele Catalano, Prometeia Associazione
 

Adaptive Beliefs in RBC models
By Sijmen Duineveld; University of Augsburg
   Presented by: Sijmen Duineveld, University of Augsburg
 

All Things Change in the Interbank Market: Policy Experiments from “Mutamur in Illis”
By Mikhail Oet; Case Western Reserve University, Federal Reserve Bank of Cleveland
John Dooley; Federal Reserve Bank of Cleveland
Agostino Capponi; Columbia University
Peng-Chu Chen; Purdue University
Stephen Ong; Federal Reserve Bank of Cleveland
Kalle Lyytinen; Case Western Reserve University
   Presented by: Mikhail Oet, Case Western Reserve University, Federal Reserve Bank of Cleveland
 

Learning and Heterogeneity in DSGE Models: An Agent-based Approach
By Alessandro Gobbi; Università Cattolica del Sacro Cuore
Jakob Grazzini; Catholic University of Milan
   Presented by: Jakob Grazzini, Catholic University of Milan
 

Dynamic Stochastic Generalised Aggregation in a Multisectoral Macroeconomic Model
By Michele Catalano; Prometeia Associazione
Corrado Di Guilmi; University Technology Sydney
   Presented by: Michele Catalano, Prometeia Associazione
 
Session ID 30: E4 TVP-VARs: Challenges and New Developments
June 21, 2015 8:00 to 9:30
Room 204
 
Session Organizer: Thomas Lubik, Federal Reserve Bank of Richmond
Session Chair: Hirokuni Iiboshi, Tokyo Metropolitan University
 

Beveridge Curve Shifts and Time-Varying Parameter VARs
By Thomas Lubik; Federal Reserve Bank of Richmond
Christian Matthes; Richmond Fed
   Presented by: Thomas Lubik, Federal Reserve Bank of Richmond
 

Monetary-Fiscal Policy Interaction and Fiscal Inflation: A Tale of Three Countries
By Martin Kliem; Deutsche Bundesbank
Alexander Kriwoluzky; Martin-Luther-Universität Halle-Wittenb
Samad Sarferaz; ETH Zurich
   Presented by: Samad Sarferaz, ETH Zurich
 

Time-varying Fiscal Multipliers Identified with Sign and Zero Restrictions: A Bayesian Approach to TVP-VAR-SV model
[slides]
By Hirokuni Iiboshi; Tokyo Metropolitan University
Yasuharu Iwata; Nagasaki University and ESRI, Cabinet Office
   Presented by: Hirokuni Iiboshi, Tokyo Metropolitan University
 
Session ID 38: E5 Econophysics III
June 21, 2015 8:00 to 9:30
Room 205
 
Session Organizer: Wei-Xing Zhou, East China University of Science and Technology
Session Chair: Fei Ren, East China University of Science and Tec
 

Newtonian and Lagrangian Mechanics of a Production System
By Matti Estola; University of Eastern Finland
Alia Dannenberg; University of Eastern Finland
   Presented by: Matti Estola, University of Eastern Finland
 

A Multi-Agent Model For Lowest Unique Bid Auction
By Rui Hu; Beijing Normal University
Cancan Zhou; Beijing Normal University
Qinghua Chen; Beijing Normal University
Tao zheng; Beijing Normal University
   Presented by: Qinghua Chen, Beijing Normal University
 

Complementary Stochastic and Deterministic Information in Financial Fluctuations
By Cyum-Wei Chen; National ChengChi university
Wen-Jong Ma; National Chengchi University
   Presented by: Wen-Jong Ma, National Chengchi University
 

Innovation in Competitions
By Wei Pan; National Chung Cheng University
   Presented by: Wei Pan, National Chung Cheng University
 
Session ID 91: E6 Risk, Investment and Banking
June 21, 2015 8:00 to 9:30
Room 101
 
Session Organizer: Carl Chiarella, University of Technology Sydney
Session Chair: Sigurd Mølster Galaasen, Norges Bank
 

Investment Strategies, Reversibility and Asymmetric Information
By Xue Cui; Tokyo Metropolitan University
Takashi Shibata; Tokyo Metropolitan University
   Presented by: Xue Cui, Tokyo Metropolitan University
 

Is Risk Quantifiable?
By Sami Alsuwailem; Islamic Development Bank
Francisco Doria; Federal University at Rio de Janeiro
Mahmoud Kamel; King Abdulaziz University
   Presented by: Sami Alsuwailem, Islamic Development Bank
 

Can Social Media and the Options Market Predict the Stock Market Behavior?
By Patrick Houlihan; Stevens Institute of Technology
Germán Creamer; Stevens Institute of Technology
   Presented by: Germán Creamer, Stevens Institute of Technology
 

Stress Testing in a Structural Model of Bank Behavior
By Dean Corbae; University of Wisconsin
Pablo D'Erasmo; FRB Philadelphia
Sigurd Mølster Galaasen; Norges Bank
Alfonso Irarrazabal; Norges Bank
Thomas Siemsen; Ludwig-Maximilians-University Munich
   Presented by: Sigurd Mølster Galaasen, Norges Bank
 
Session ID 58: E7 Housing Dynamics and Economic Growth
June 21, 2015 8:00 to 9:30
Room 103
 
Session Organizer: Been-Lon Chen, Academia Sinica
Session Chair: Filip Rozsypal, University of Cambridge
 

Keeping Up with the Zhangs and House Price Dynamics in China
By Raoul Minetti; Michigan State University
Tao Peng; Southwestern University of Finance and Economics
   Presented by: Tao Peng, Southwestern University of Finance and Economics
 

Nationwide or Local Housing Boom-bust Cycles? Evidence from Structural Instability in the US Housing Markets
By Meichi Huang; National Taipei University
   Presented by: Meichi Huang, National Taipei University
 

Migration Restrictions: Implications on Human Capital, Output, and Welfare
By Jingchao Li; The Ohio State University
Byoung Hoon Seok; The Ohio State University
Hye Mi You; State University of New York at Buffalo
   Presented by: Byoung Hoon Seok, The Ohio State University
 

Schumpeterian Business Cycles
By Filip Rozsypal; University of Cambridge
   Presented by: Filip Rozsypal, University of Cambridge
 
Session ID 85: E8 Open Economy Macroeconomics
June 21, 2015 8:00 to 9:30
Convention Hall
 
Session Organizer: Francesco Furlanetto, Norges Bank
Session Chair: Alexandre Dmitriev, University of Tasmania
 

The Rise of Corporate Borrowing in Emerging Economies in the Era of Low Gobal Interest Rates
By Roberto Chang; Rutgers University
Andres Fernandez; Inter American Development Bank
Adam Gulan; Bank of Finland
   Presented by: Adam Gulan, Bank of Finland
 

Wealth Effects and Labor Market Dynamics in International Business Cycles
By Carlos Yepez; University of Manitoba
   Presented by: Carlos Yepez, University of Manitoba
 

The Spatial Origins of Aggregate Fluctuations
[slides]
By Tom Holden; University of Surrey
   Presented by: Tom Holden, University of Surrey
 

Lifestyle Habits and International Transmission of Business Cycles
By Alexandre Dmitriev; University of Tasmania
   Presented by: Alexandre Dmitriev, University of Tasmania
 
Session ID 21: F1 Exchange Rates, Spreads, and Asset Pricing
June 21, 2015 11:00 to 12:30
Room 201
 
Session Organizer: Kevin Lansing, Federal Reserve Bank of San Francisco
Session Chair: Iskander Karibzhanov, Bank of Canada
 

Exchange Rates, Expectations and Risk: UIP Unbound
By Anella Munro; Reserve Bank of New Zealand
   Presented by: Anella Munro, Reserve Bank of New Zealand
 

Long-Run Risk, Labor Market Dynamics and Asset Prices
By Philipp Pfeiffer; Technische Universität Berlin
Malte Schumacher
   Presented by: Philipp Pfeiffer, Technische Universität Berlin
 

Real Effective Exchange Rates and Wage Adjustments in China
By QianQian Wang; Henan University
   Presented by: QianQian Wang, Henan University
 

Sovereign Defaults
By Iskander Karibzhanov; Bank of Canada
   Presented by: Iskander Karibzhanov, Bank of Canada
 
Session ID 74: F2 Measuring Risks in Financial Assets
June 21, 2015 11:00 to 12:30
Room 202
 
Session Organizer: Francesco Ravazzolo, Norges Bank
Session Chair: Francesco Ravazzolo, Norges Bank
 

Why Risk is So Hard to Measure
By Jon Danielsson; London School of Economics
Chen Zhou; De Nederlandsche Bank
   Presented by: Chen Zhou, De Nederlandsche Bank
 

The Liquidity Effects of Official Bond Market Intervention
By Michiel De Pooter; Federal Reserve Board of Governors
   Presented by: Michiel De Pooter, Federal Reserve Board of Governors
 

Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting
By Andre Lucas; VU University Amsterdam
Xin Zhang; Sveriges Riksbank
   Presented by: Xin Zhang, Sveriges Riksbank
 

Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rates
By Claudia Foroni; Norges Bank
Francesco Ravazzolo; Norges Bank
Barbara Sadaba; Erasmus University - Tinbergen Institute
   Presented by: Francesco Ravazzolo, Norges Bank
 
Session ID 44: F3 Agent-based Macro Models II
June 21, 2015 11:00 to 12:30
Room 203
 
Session Organizer: Cars Hommes, University of Amsterdam
Session Chair: Christophre Georges, Hamilton College
 

Modelling Price Discovery in an Agent Based Model for Agriculture in Luxembourg
By Sameer Rege; Luxembourg Institute of Science and Technology
Tomas Navarrete-Gutierrez; Luxembourg Institute of Science and Technology
   Presented by: Sameer Rege, Luxembourg Institute of Science and Technology
 

An Agent-Based Simulation of the Stolper-Samuelson Effect
[slides]
By Luzius Meisser; University of Zurich
Carl Kreuser; Stellenbosch University
   Presented by: Luzius Meisser, University of Zurich
 

Deleveraging Crises and Deep Recessions: a Behavioural Approach
By Pascal Seppecher; University of Paris North
Isabelle Salle; CeNDEF, Amsterdam School of Economics
   Presented by: Isabelle Salle, CeNDEF, Amsterdam School of Economics
 

Product Innovation and Macroeconomic Dynamics
By Christophre Georges; Hamilton College
   Presented by: Christophre Georges, Hamilton College
 
Session ID 31: F4 Empirical Trade Models
June 21, 2015 11:00 to 12:30
Room 204
 
Session Organizer: Thomas Lubik, Federal Reserve Bank of Richmond
Session Chair: Logan Lewis, Federal Reserve Board
 

Do Borders Really Slash Trade? A Meta-Analysis
By Tomas Havranek; Czech National Bank
Zuzana Irsova; Charles University in Prague
   Presented by: Tomas Havranek, Czech National Bank
 

Systemic Risk on Liquidity Channels: Evidence from Korean Trade Credit Network
[slides]
By Jisang Lee; KAIST
DukHee Lee
   Presented by: Jisang Lee, KAIST
 

How Important are Trade Prices for Trade Flows?
By Logan Lewis; Federal Reserve Board
   Presented by: Logan Lewis, Federal Reserve Board
 
Session ID 39: F5 Experimental Study of Learning and Searching Behavior
June 21, 2015 11:00 to 12:30
Room 205
 
Session Organizer: Chung-Ching Tai, Tunghai University
Session Chair: William Tracy, Rensselaer Polytechnic Institute
 

Heterogeneity in Experienced-Weighted Attraction Learning and Its Relation to Cognitive Ability
By Shu-Heng Chen; National Chengchi University
Ye-Rong Du; National Chengchi University
   Presented by: Ye-Rong Du, National Chengchi University
 

Adaptive versus Eductive Learning: Theory and Evidence
By Te Bao; University of Groningen
John Duffy; University of California, Irvine
   Presented by: Te Bao, University of Groningen
 

Competitor Information and the Selection of Search Algorithms in Computational Models
By William Tracy; Rensselaer Polytechnic Institute
Deepu Philip; Indian Institute of Technology Kanpur
Dmitri Markovitch; Rensselaer Polytechnic Institute
Lois Peters; Rensselaer Polytechnic Institute
   Presented by: William Tracy, Rensselaer Polytechnic Institute
 
Session ID 92: F6 Valuation and Pricing
June 21, 2015 11:00 to 12:30
Room 101
 
Session Organizer: Carl Chiarella, University of Technology Sydney
Session Chair: Yuwei Wang, Marist College
 

Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization
By Xiaolin Luo; CSIRO
Pavel Shevchenko; CSIRO
   Presented by: Xiaolin Luo, CSIRO
 

Pricing an American Call Under Stochastic Volatility and Interest Rates
By Boda Kang; University of York
Gunter Meyer; Georgia Institute of Technology
   Presented by: Boda Kang, University of York
 

Equilibrium Dynamics in an Illiquid Market with Heterogeneous Economic Agents
By Aleksandra Zhukova; Dorodnicyn Computing Center of RAS
Igor Pospelov; Dorodnicyn Computing Center of RAS
   Presented by: Aleksandra Zhukova, Dorodnicyn Computing Center of RAS
 

Directors’ and Officers’ Liability Insurance and the Sensitivity of Directors’ Compensation to Firm Performance
By Yuwei Wang; Marist College
Chia-wei Chen; Tunghai University
   Presented by: Yuwei Wang, Marist College
 
Session ID 59: F7 Population, Health and Social Security
June 21, 2015 11:00 to 12:30
Room 103
 
Session Organizer: Been-Lon Chen, Academia Sinica
Session Chair: Koichi Miyazaki,
 

Fiscal and Population Policies in an Aging Economy with the Presence of Informal Employment
By Minchung Hsu; National Graduate Institute for Policy Studies (GRIPS)
Tanyasorn Ekapirak; National Graduate Institute for Policy Studies
   Presented by: Tanyasorn Ekapirak, National Graduate Institute for Policy Studies
 

The Blighted Youth: An International Comparison of Life-Cycle Unemployment
By Bernabe Lopez-Martin; Bank of Mexico
   Presented by: Bernabe Lopez-Martin, Bank of Mexico
 

Optimal Health Insurance in the Presence of Risky Health Behaviors
By Osman Abbasoglu; Central Bank of the Republic of Turkey
   Presented by: Osman Abbasoglu, Central Bank of the Republic of Turkey
 

Optimal Pay-As-You-Go Social Security When Retirement is Endogenous and Labor Productivity Depreciates
By Koichi Miyazaki; Kagawa University
   Presented by: Koichi Miyazaki,
 
Session ID 22: G1 Monetary Policy I
June 21, 2015 13:30 to 15:00
Room 201
 
Session Organizer: Kevin Lansing, Federal Reserve Bank of San Francisco
Session Chair: Aarti Singh, University of Sydney
 

Financial Shocks, Loan Loss Provisions and Macroeconomic Stability
By Roy Zilberman; Lancaster University
William Tayler; Lancaster University
   Presented by: Roy Zilberman, Lancaster University
 

A Central Bank's Escape from an Indeterminacy Trap
By Nelson Lind; University of California, San Diego
   Presented by: Nelson Lind, University of California, San Diego
 

Equilibrium Yield Curves and the Zero Lower Bound
By Tanaka Hiroatsu; Federal Reserve Board
Taisuke Nakata; Federal Reserve Board
   Presented by: Tanaka Hiroatsu, Federal Reserve Board
 

Optimal Monetary Policy at the Zero Lower Bound
By Costas Azariadis; Washington University in St Louis
James Bullard; Federal Reserve Bank of St. Louis
Aarti Singh; University of Sydney
Jacek Suda; National Bank of Poland
   Presented by: Aarti Singh, University of Sydney
 
Session ID 75: G2 Econometrics I
June 21, 2015 13:30 to 15:00
Room 202
 
Session Organizer: Francesco Ravazzolo, Norges Bank
Session Chair: Andrzej Kociecki, Narodowy Bank Polski
 

Powerful Test Combination with an “Alternative” Bootstrap
By Ana-Maria H. Dumitru; University of Surrey
   Presented by: Ana-Maria H. Dumitru, University of Surrey
 

What Drives Firms' Responses to an Oil Price Shock? A Survey Experimental Identification Procedure
By Samad Sarferaz; ETH Zurich
Dirk Drechsel; ETH Zurich
Heiner Mikosch; ETH Zurich
Matthias Bannert; ETH Zurich
   Presented by: Dirk Drechsel, ETH Zurich
 

Estimating Spillover in the Global Banking Network Using VAR with Exponential Smoothing and Ridge Regression
By Sachapon Tungsong; University College London
Fabio Caccioli; University College London
Tomaso Aste; University College London
   Presented by: Sachapon Tungsong, University College London
 

Bayesian Analysis of SVAR Models with Economic Priors
By Michele Ca' Zorzi; European Central Bank
Andrzej Kociecki; Narodowy Bank Polski
Michał Rubaszek; National Bank of Poland
   Presented by: Andrzej Kociecki, Narodowy Bank Polski
 
Session ID 45: G3 Laboratory Experiments
June 21, 2015 13:30 to 15:00
Room 203
 
Session Organizer: Cars Hommes, University of Amsterdam
Session Chair: Cars Hommes, University of Amsterdam
 

The Formation and Destruction of Trust: Experimental Evidence from Network-Based Trust Games
By Chung-Ching Tai; Tunghai University
Shu-Heng Chen; National Chengchi University
Yi-Ting Yeh; Department of Economics, National Chengchi University, Taiwan
   Presented by: Chung-Ching Tai, Tunghai University
 

Monetary and Fiscal Policy Design at the Zero Lower Bound: Evidence from the Lab
By Cars Hommes; University of Amsterdam
Domenico Massaro; University of Amsterdam
Isabelle Salle; CeNDEF, Amsterdam School of Economics
   Presented by: Isabelle Salle, CeNDEF, Amsterdam School of Economics
 

Simple Forecasting Heuristics that Make Us Smart: Evidence from Different Market Experiments
By Mikhail Anufriev; University of Technology Sydney
Cars Hommes; University of Amsterdam
Tomasz Makarewicz; University of Amsterdam
   Presented by: Mikhail Anufriev, University of Technology Sydney
 

Equilibrium Selection Through Laboratory Experiments in an OLG economy
By Jasmina Arifovic; Simon Fraser University
Cars Hommes; University of Amsterdam
Isabelle Salle; CeNDEF, Amsterdam School of Economics
   Presented by: Cars Hommes, University of Amsterdam
 
Session ID 42: G4 Sources of Business Cycles: A Euro Area Perspective
June 21, 2015 13:30 to 15:00
Room 204
 
Session Organizer: Thomas Lubik, Federal Reserve Bank of Richmond
Session Chair: Marius Clemens, University of Potsdam
 

Fiscal Austerity, Unemployment and Family Firms
By Zsuzsa Munkacsi; European University Institute
   Presented by: Zsuzsa Munkacsi, European University Institute
 

Monetary Cross Checking in Practice
By Guenter Beck; Johannes Gutenberg-Universität
Robert Beyer; Goethe University Frankfurt
Markus Kontny; Goethe University Frankfurt
Volker Wieland; Goethe University of Frankfurt
   Presented by: Robert Beyer, Goethe University Frankfurt
 

Global Oil Prices and Recessions: the Role of Nontradeables
By Makram Khalil; University of Vienna, Vienna Graduate School of Economics
   Presented by: Makram Khalil, University of Vienna, Vienna Graduate School of Economics
 

Migration, Unemployment and the Business Cycle - A Euro Area Perspective -
By Janine Hart; University of Potsdam
Marius Clemens; University of Potsdam
   Presented by: Marius Clemens, University of Potsdam
 
Session ID 40: G5 Asset Market Experiments with Human Subjects
June 21, 2015 13:30 to 15:00
Room 205
 
Session Organizer: Chung-Ching Tai, Tunghai University
Session Chair: Alba Ruiz-Buforn, Universitat Jaume I
 

Efficiency of the Experimental Prediction Market: Heterogeneous Information, Belief, and Personality
By Bin-Tzong Chie; Tamkang University
Shu-Heng Chen; National Chengchi University
Chung-Yu Wu; Tamkang University
   Presented by: Bin-Tzong Chie, Tamkang University
 

How Do Experienced Traders Respond to in Ows of Inexperienced traders? An Experimental Analysis
By Eizo Akiyama; University of Tsukuba
Nobuyuki Hanaki; Aix-Marseille University, GREQAM, IUF
Ryuichiro Ishikawa; University of Tsukuba
   Presented by: Eizo Akiyama, University of Tsukuba
 

An Experimental Study on Overweighting of Public Information
By Simone Alfarano; University Jaume I
Eva Camacho-Cuena; University Jaume I
Alba Ruiz-Buforn; Universitat Jaume I
   Presented by: Alba Ruiz-Buforn, Universitat Jaume I
 
Session ID 64: G6 Dynamics of Limit Order Markets
June 21, 2015 13:30 to 15:00
Room 101
 
Session Organizer: Xue-Zhong He, University of Technology, Sydney
Session Chair: Chia-Hsuan Yeh, Yuan Ze University
 

The Effect of Fast Traders in Continuous Double Auction Market
By Kyubin Yim; POSTECH
Gabjin Oh; Chosun University
Seunghwan Kim; POSTECH
   Presented by: Kyubin Yim, POSTECH
 

Buying on Margin, Selling Short in an Artificial Double Auction Market
By Xuan Zhou; Beijing Normal University
Honggang Li; Beijing Normal University
   Presented by: Xuan Zhou, Beijing Normal University
 

Intraday Dynamics of Euro Area Sovereign CDS and Bonds
By Jacob Gyntelberg; Bank for International Settlements
Peter Hoerdahl; Bank for International Settlements
Kristyna Ters; University of Basel
Joerg Urban; Bank for International Settlements
   Presented by: Peter Hoerdahl, Bank for International Settlements
 

Does High-frequency Trading Matter?
By Chia-Hsuan Yeh; Yuan Ze University
Chun-Yi Yang; George Mason University
   Presented by: Chia-Hsuan Yeh, Yuan Ze University
 
Session ID 51: G7 Agent-based Modeling I
June 21, 2015 13:30 to 15:00
Room 103
 
Session Organizer: Akira Namatame, National Defense Academy
Session Chair: Yuji Aruka, Chuo University
 

Systemic Risks of Evolving Networks
By Akira Namatame; National Defense Academy
   Presented by: Akira Namatame, National Defense Academy
 

Stability of General Equilibrium Under Learning in an Agent-based Scarf Economy
By Shu-Heng Chen; National Chengchi University
Bin-Tzong Chie; Tamkang University
Ying-Fang Kao; National Chengchi University
Ragupathy Venkatachalam; National Chengchi University
   Presented by: Ragupathy Venkatachalam, National Chengchi University
 

Product Competition with Network Effects
By Cen Chen; Singapore Management University
Zhiling Guo; Singapore Management University
Shih-Fen Cheng; Singapore Management University
Hoong Chuin Lau; Singapore Management University
   Presented by: Cen Chen, Singapore Management University
 

A Dynamic Network Model of Banking System Stability
[slides]
By Mengyang Wei
Miguel Leon-Ledesma; University of Kent
Gianluca Marcelli
Sarah Spurgeon; University of Kent
   Presented by: Mengyang Wei,
 
Session ID 23: H1 Fiscal Policy and Production
June 21, 2015 15:20 to 16:50
Room 201
 
Session Organizer: Kevin Lansing, Federal Reserve Bank of San Francisco
Session Chair: German Cubas, University of Houston
 

Isoelastic Elasticity of Substitution Production Functions
By Jakub Growiec; Warsaw School of Economics & NBP
   Presented by: Jakub Growiec, Warsaw School of Economics & NBP
 

Fiscal Multipliers in a Two-sector Search and Matching Model
By Konstantinos Angelopoulos; University of Glasgow
Wei Jiang; University of Kent
James Malley; University of Glasgow and CESifo
   Presented by: Wei Jiang, University of Kent
 

Optimal Decumulation of Wealth in General Equilibrium
By James Feigenbaum; Utah State University
   Presented by: James Feigenbaum, Utah State University
 

Progressive Taxation and Risky Career Choices
By German Cubas; University of Houston
Pedro Silos; Federal Reserve Bank of Atlanta
   Presented by: German Cubas, University of Houston
 
Session ID 76: H2 Econometrics II
June 21, 2015 15:20 to 16:50
Room 202
 
Session Organizer: Francesco Ravazzolo, Norges Bank
Session Chair: Jozef Barunik, Institute of Economic Studies, Charles U
 

Realized Wavelet-based Estimation of Integrated Covariance and Co-jumps in the Presence of Noise
By Lukas Vacha; UTIA, Czech Academy of Sciences
Jozef Barunik; Institute of Economic Studies, Charles U
   Presented by: Lukas Vacha, UTIA, Czech Academy of Sciences
 

Unemployment Hysteresis and Structural Change in Europe
By Kurmas Akdogan; Central Bank of the Republic of Turkey
   Presented by: Kurmas Akdogan, Central Bank of the Republic of Turkey
 

Conditional Term Structure of the Canadian Inflation Forecast Uncertainties: the Copula Approach
By Wojciech Charemza; University of Leicester
Carlos Diaz; University of Leicester
Svetlana Makarova; University College London
   Presented by: Carlos Diaz, University of Leicester
 

Measuring the frequency dynamics of financial and macroeconomic connectedness
By Jozef Barunik; Institute of Economic Studies, Charles U
Tomas Krehlik; Academy of Sciences of the Czech Republic
   Presented by: Jozef Barunik, Institute of Economic Studies, Charles U
 
Session ID 46: H3 Expectations and Learning
June 21, 2015 15:20 to 16:50
Room 203
 
Session Organizer: Cars Hommes, University of Amsterdam
Session Chair: Kai Li, University of Technology, Sydney
 

Behavioral Learning Equilibria and Monetary Policy for the New Keynesian Model
By Cars Hommes; University of Amsterdam
Mei Zhu; Shanghai University of Finance and Economics
   Presented by: Mei Zhu, Shanghai University of Finance and Economics
 

Strategic Location Choices of Innovative Firms: An Agent Based Analysis
By Luca Colombo; Università Cattolica del Sacro Cuore
Herbert Dawid; University of Bielefeld
Philipp Harting; Bielefeld University
   Presented by: Luca Colombo, Università Cattolica del Sacro Cuore
 

Costly Decisions and Sequential Bargaining
By James Costain; Bank of Spain
   Presented by: James Costain, Bank of Spain
 

Volatility Clustering: A Nonlinear Theoretical Approach
By Xue-Zhong He; University of Technology, Sydney
Kai Li; University of Technology, Sydney
Chuncheng Wang; Harbin Institute of Technology
   Presented by: Kai Li, University of Technology, Sydney
 
Session ID 60: H4 Macrodynamics of Inequality in Closed and Open Economies
June 21, 2015 15:20 to 16:50
Room 204
 
Session Organizer: Paul McNelis, Fordham University
Session Chair: Jinhui Bai, Washington State University
 

Income Growth and Inequality: The Threshold Effects of Trade and Financial Openness
By Guay Lim; University of Melbourne
Paul McNelis; Fordham University
   Presented by: Guay Lim, University of Melbourne
 

The Consequences of Tariff Reduction for Economic Activity and Inequality
By Jorge Rojas; University of Washington
Stephen Turnovsky; University of Washington
   Presented by: Stephen Turnovsky, University of Washington
 

Balancing Okun's Bucket: Using Viability Theory to Control Inequality
By Jacek Krawczyk; Victoria University of Wellington
Wilbur Townsend; Victoria University of Wellington
   Presented by: Jacek Krawczyk, Victoria University of Wellington
 

The Welfare Costs of Fiscal Uncertainty: A Quantitative Evaluation
By Ruediger Bachmann; University of Notre Dame
Jinhui Bai; Washington State University
Minjoon Lee; University of Michigan
Fudong Zhang; University of Michigan
   Presented by: Jinhui Bai, Washington State University
 
Session ID 41: H5 Intention, Reciprocity, and Motivation: Evidence from the Lab
June 21, 2015 15:20 to 16:50
Room 205
 
Session Organizer: Chung-Ching Tai, Tunghai University
Session Chair: Yan Zhou, Kyoto Sangyo University
 

Experimental Study of Bribery in Public Procurement
By Milos Fisar; Masaryk University
   Presented by: Milos Fisar, Masaryk University
 

How Monetary Rewards Dominate Subjects' Self-Satisfaction of Winning a Game
By Toshiaki Akinaga; Tokoha University
Yan Zhou; Kyoto Sangyo University
Sobei Oda; Kyoto Sangyo University
   Presented by: Toshiaki Akinaga, Tokoha University
 

An Experimental Economics Approach to the Knobe Effect
[slides]
By Yan Zhou; Kyoto Sangyo University
Masashi Kasaki; Kyoto University
Sobei Oda; Kyoto Sangyo University
   Presented by: Yan Zhou, Kyoto Sangyo University
 
Session ID 65: H6 Asset Pricing and Portfolio Optimization: Heterogeneous Beliefs
June 21, 2015 15:20 to 16:50
Room 101
 
Session Organizer: Xue-Zhong He, University of Technology, Sydney
Session Chair: Lei Shi, University of Technology, Sydney
 

Heterogeneous Beliefs and Stock-Bond Comovements
By Mengling Li; Nanyang Technological University
Huanhuan Zheng; The Chinese University of Hong Kong
   Presented by: Mengling Li, Nanyang Technological University
 

Moving-Average Strategies in Housing Markets
By Min Zheng; Central University of Finance and Economics
   Presented by: Min Zheng, Central University of Finance and Economics
 

The Magnet Effect of Price Limits in Taiwan Stock Market: A Heterogeneous Agents Approach
By Chueh-Yung Tsao; Chang Gung University
   Presented by: Chueh-Yung Tsao, Chang Gung University
 

A Simple Asset Pricing Model with Social Interactions and Differences in Opinion
By Xue-Zhong He; University of Technology Sydney
Kai Li; University of Technology, Sydney
Lei Shi; University of Technology, Sydney
   Presented by: Lei Shi, University of Technology, Sydney
 
Session ID 52: H7 Agent-based Modeling II
June 21, 2015 15:20 to 16:50
Room 103
 
Session Organizer: Akira Namatame, National Defense Academy
Session Chair: Akira Namatame, National Defense Academy
 

Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective
By Aki-Hiro Sato; Kyoto University
Paolo Tasca; Deutsche Bundesbank
   Presented by: Aki-Hiro Sato, Kyoto University
 

Using Agent-based Models to Test the Stability of Equilibrium Models
By Harbir Lamba; George Mason University
   Presented by: Harbir Lamba, George Mason University
 

An Agent-based Model for Crisis Liquidity Dynamics
By Mark Paddrik; Office of Financial Research
Richard Bookstabler; Offcie of Financial Research
   Presented by: Mark Paddrik, Office of Financial Research
 

The Dynamics of Leverage in a Demand Driven Model with Heterogeneous Firms
By Laura Carvalho; University of Sao Paulo
Corrado Di Guilmi; University Technology Sydney
   Presented by: Corrado Di Guilmi, University Technology Sydney
 
Session ID 78: I1 Solving Dynamic Economic Models II
June 22, 2015 8:00 to 9:30
Room 201
 
Session Organizer: Peter Zadrozny, Bureau of Labor Statistics
Session Chair: Peter Zadrozny, Bureau of Labor Statistics
 

Value Function Iteration on the GPU: A Matlab Toolkit
By Robert Kirkby
   Presented by: Robert Kirkby,
 

An R&D Race with Knowledge Accumulation of the Complementary Property and Spillovers
By Hsin-Mien Wang; Bielefeld University
   Presented by: Hsin-Mien Wang, Bielefeld University
 

Matrix Polynomial Factorization for Solving Vector Linear Rational Expectations Models and Computing Matrix Spectral Factorizations
By Peter Zadrozny; Bureau of Labor Statistics
   Presented by: Peter Zadrozny, Bureau of Labor Statistics
 
Session ID 71: I2 Empirical Macroeconomics I
June 22, 2015 8:00 to 9:30
Room 202
 
Session Organizer: Michel Juillard, Banque de France
Session Chair: Serguei Maliar, Santa Clara University
 

Macroeconomic Policy Games
By Martin Bodenstein; National University of Singapore
Luca Guerrieri; Federal Reserve Board
   Presented by: Martin Bodenstein, National University of Singapore
 

What Measures Chinese Monetary Policy?
By Rongrong Sun; University of Nottingham Ningbo China
   Presented by: Rongrong Sun, University of Nottingham Ningbo China
 

Terms of Trade Shocks and Optimal Monetary Policy in India
[slides]
By Chetan Ghate; Indian Statistical Institute, Delhi
Sargam Gupta; Indian Statistical Institute, Delhi
Debdulal Mallick; Deakin University
   Presented by: Sargam Gupta, Indian Statistical Institute, Delhi
 

A Tractable Framework for Analyzing a Class of Nonstationary Markov Models
[slides]
By Lilia Maliar; Stanford University
Serguei Maliar; Santa Clara University
John Taylor; Stanford University
Inna Tsener; University of Alicante
   Presented by: Serguei Maliar, Santa Clara University
 
Session ID 47: I3 Agent-based Models of Finance I
June 22, 2015 8:00 to 9:30
Room 203
 
Session Organizer: Cars Hommes, University of Amsterdam
Session Chair: Blake LeBaron, Brandeis University
 

Is the Extension of Trading Hours Always Beneficial? An Artificial Agent-Based Analysis
By Kotaro Miwa; Tokio Marine Asset Management
Kazuhiro Ueda; University of Tokyo
   Presented by: Kotaro Miwa, Tokio Marine Asset Management
 

Endogenous Fundamental, Financial Bubbles and Wealth Accumulation
By Weihong Huang; Nanyang Technological University
Yu Zhang; Nanyang Technological University
   Presented by: Yu Zhang, Nanyang Technological University
 

Crashes of Housing Price Bubbles Under Heterogeneous Expectations
By Wai Mun Chia; Nanyang Technological University
Weihong Huang; Nanyang Technological University
Zichun Huang; Nanyang Technological University
   Presented by: Wai Mun Chia, Nanyang Technological University
 

Risk Forecasting and Stock Price Volatility
By Blake LeBaron; Brandeis University
   Presented by: Blake LeBaron, Brandeis University
 
Session ID 61: I4 Reform and Pricing Dynamics
June 22, 2015 8:00 to 9:30
Room 204
 
Session Organizer: Paul McNelis, Fordham University
Session Chair: Kazuhiro Hiraki, Bank of Japan
 

The Distributional Effects of Redistributional Tax Policy
By Jason DeBacker; Middle Tennessee State University
Richard Evans; Brigham Young University
Evan Magnusson; Brigham Young University
Kerk L. Phillips; Brigham Young University
Shanthi Ramnath; U.S. Department of the Treasury
Isaac Swift; Brigham Young University
   Presented by: Kerk L. Phillips, Briham Young University
 

A Bridge to Equality: How Investing in Infrastructure Affects the Distribution of Wealth
By John Gibson; Georgia State University
Felix Rioja; Georgia State University
   Presented by: John Gibson, Georgia State University
 

The Asymmetric Effects of Oil Price Shocks on the Canadian Economy
By Luiggi Donayre; University of Minnesota - Duluth
Neil Wilmot; University of Minnesota Duluth
   Presented by: Luiggi Donayre, University of Minnesota - Duluth
 

Changing Exchange Rate Pass-through in Japan: Does It Indicate Changing Price Setting Behavior?
By Naoko Hara; Bank of Japan
Kazuhiro Hiraki; Bank of Japan
Yoshitaka Ichise; Bank of Japan
   Presented by: Kazuhiro Hiraki, Bank of Japan
 
Session ID 2: I5 Nonlinear and Machine Learning Methods in Finance
June 22, 2015 8:00 to 9:30
Room 205
 
Session Organizer: Germán Creamer, Stevens Institute of Technology
Session Chair: Paola Paiardini, University of Sussex
 

Estimating Financial Words' Negative-positive from Stock Prices
By Keiichi Goshima; Tokyo Institute of Technology
Hiroshi Takahashi; Keio University
Takao Terano; Tokyo Institute of Technology
   Presented by: Keiichi Goshima, Tokyo Institute of Technology
 

Underpricing of Different IPO Pricing Mechanisms: An Agent-Based Artificial Market
By Tong Zhang; Southwestern University of Finance & Eco
Jiejuan Li; Postal Savings Bank of China (Chengdu Branch)
Yu Wu; Southwestern University of Finance & Eco
   Presented by: Tong Zhang, Southwestern University of Finance & Eco
 

Optimal High-Frequency Trading with Financial Transaction Tax
By Edward Sun; BEM Management School Bordeaux
   Presented by: Edward Sun, BEM Management School Bordeaux
 

Financial Sentiment Analysis in European Government Bond Markets
By Paola Paiardini; University of Sussex
   Presented by: Paola Paiardini, University of Sussex
 
Session ID 66: I6 Asset Pricing and Portfolio Optimization: Optimal Strategies
June 22, 2015 8:00 to 9:30
Room 101
 
Session Organizer: Xue-Zhong He, University of Technology, Sydney
Session Chair: Yan Zeng, Sun Yat-sen University
 

Optimal Life Cycle Consumption, Portfolio Allocation, and Life Insurance, with Mandatory Savings
By Wei-Ting Pan; University of Technology, Sydney
   Presented by: Wei-Ting Pan, University of Technology, Sydney
 

Regression-based Monte Carlo Methods for Stochastic Control Models: Variable Annuities with Lifelong Guarantees
By Yue Kuen Kwok; Department of Mathematics
   Presented by: Yue Kuen Kwok, Department of Mathematics
 

Dual Representation of Value Function and Applications
By Harry Zheng; Imperial College
   Presented by: Harry Zheng, Imperial College
 

Optimal Dividend Strategies in a Mean-reverting Model with Stochastic Time-preferences and Transaction Costs
By Shumin Chen; Guangdong University of Technology
Zhongfei Li; Sun Yat-sen University
Yan Zeng; Sun Yat-sen University
   Presented by: Yan Zeng, Sun Yat-sen University
 
Session ID 53: I7 Agent-based Modeling III
June 22, 2015 8:00 to 9:30
Room 103
 
Session Organizer: Akira Namatame, National Defense Academy
Session Chair: Aki-Hiro Sato, Kyoto University
 

Investment Index Construction from Information Propagation Based on Transfer Entropy
By Fujio Toriumi; The University of Tokyo
Kazuki Komura; The University of Tokyo
   Presented by: Fujio Toriumi, The University of Tokyo
 

An Agent-based Model for Exploring Retweeting Behaviors on Twitter Social Network
By Chao Yang; Hunan University
Bin Jiang; Hunan University
Lei Wang; Hunan University
   Presented by: Chao Yang, Hunan University
 

A Study on Education and Social Exclusion Using Agent Based Simulation Model
By Masatoshi Murakami; Hannan University
Noriyuki Tanida; Kansai University
   Presented by: Masatoshi Murakami, Hannan University
 

Local Network Effect and Competition Model
By Xiaoyun Xing; Beijing Normal University
   Presented by: Xiaoyun Xing, Beijing Normal University
 
Session ID 24: I8 House Prices, Mortgage Debt, and Consumer Credit
June 22, 2015 8:00 to 9:30
Conference Room
 
Session Organizer: Kevin Lansing, Federal Reserve Bank of San Francisco
Session Chair: Christoph Ungerer, Federal Reserve Board
 

Explaining the Boom-Bust Cycle in the U.S. Housing Market: A Reverse-Engineering Approach
By Paolo Gelain; Norges Bank
Kevin Lansing; Federal Reserve Bank of San Francisco
Gisle Natvik; Norges Bank
   Presented by: Paolo Gelain, Norges Bank
 

Income Redistribution, Consumer Credit, and Keeping Up with the Riches
By Mathias Klein; Ruhr Graduate School in Economics
Christopher Krause; TU Dortmund University
   Presented by: Christopher Krause, TU Dortmund University
 

Housing, Mortgages, and Self Control
By Kathrin Schlafmann; Institute for International Economic Studies (IIES)
   Presented by: Kathrin Schlafmann, Institute for International Economic Studies (IIES)
 

Monetary Policy, Hot Housing Markets and Leverage
By Christoph Ungerer; Federal Reserve Board
   Presented by: Christoph Ungerer, Federal Reserve Board
 
Session ID 25: J1 Information Frictions and Monetary Policy
June 22, 2015 11:00 to 12:30
Room 201
 
Session Organizer: Kenneth Kasa, Simon Fraser University
Session Chair: Jun Nie, Federal Reserve Bank of Kansas City
 

Monetary Policy Rules Under Uncertainty and Learning
By Xiaohan Ma; The George Washington University
   Presented by: Xiaohan Ma, The George Washington University
 

"Wait and See" Monetary Policy
[slides]
By Xiaowen Lei; Simon Fraser University
   Presented by: Xiaowen Lei, Simon Fraser University
 

Information Frictions, Nominal Shocks, and the Role of Inventories in Price-Setting Decisions
By Camilo Morales-Jimenez; University of Maryland, College Park
   Presented by: Camilo Morales-Jimenez, University of Maryland, College Park
 

What We Don't Know Doesn't Hurt Us: Rational Inattention and the Permanent Income Hypothesis in General Equilibrium
[slides]
By Yulei Luo; The University of Hong Kong
Jun Nie; Federal Reserve Bank of Kansas City
Gaowang Wang; Shandong University
Eric Young; University of Virginia
   Presented by: Jun Nie, Federal Reserve Bank of Kansas City
 
Session ID 72: J2 Labor Market and Business Cycle
June 22, 2015 11:00 to 12:30
Room 202
 
Session Organizer: Michel Juillard, Banque de France
Session Chair: Thuy Lan Nguyen, Santa Clara University
 

Endogenous Wage Indexation and Aggregate Shocks
By Julio Carrillo; Banco de Mexico
Gert Peersman; Ghent University
Joris Wauters; Ghent University
   Presented by: Julio Carrillo, Banco de Mexico
 

Business Cycle Asymmetries and Slow Recoveries in Labor Markets
By Irina Panovska; Lehigh University
   Presented by: Irina Panovska, Lehigh University
 

Understanding the Dynamics of the US Labor Share
By Jakub Growiec; Warsaw School of Economics & NBP
Peter McAdam; European Central Bank
Jakub Muck; Narodowy Bank Polski
   Presented by: Jakub Muck, Narodowy Bank Polski
 

News Shocks and Business Cycle: Evidence from Forecast Data
By Wataru Miyamoto; Bank of Canada
Thuy Lan Nguyen; Santa Clara University
   Presented by: Thuy Lan Nguyen, Santa Clara University
 
Session ID 48: J3 Agent-based Models of Finance II
June 22, 2015 11:00 to 12:30
Room 203
 
Session Organizer: Cars Hommes, University of Amsterdam
Session Chair: Noemi Schmitt, University of Bamberg
 

Social Networked Boundedly-Rational Traders in Continuous Double Auction Markets
By Junhuan Zhang; King's College London
   Presented by: Junhuan Zhang, King's College London
 

Dark Pool Usage and Individual Trading Performance
By Yibing Xiong; Tokyo Institute of Technology
Takashi Yamada; Tokyo Institute of Technology
Takao Terano; Tokyo Institute of Technology
   Presented by: Yibing Xiong, Tokyo Institute of Technology
 

Influence of Inefficiency in Government Expenditure on the Multiplier of Public Investment
By Shigeaki Ogibayashi; Chiba Institute of Technology
Kosei Takashima; Research Institute, Chiba Insitute of Technology
   Presented by: Shigeaki Ogibayashi, Chiba Institute of Technology
 

Evolutionary competition, market stability and tax burden
By Noemi Schmitt; University of Bamberg
Frank Westerhoff; University of Bamberg
   Presented by: Noemi Schmitt, University of Bamberg
 
Session ID 62: J4 Monetary Policy II
June 22, 2015 11:00 to 12:30
Room 204
 
Session Organizer: Paul McNelis, Fordham University
Session Chair: Erin Wolcott, University of California, San Diego
 

The Time-varying Relationship of Expectations About Monetary Stimulus and Macroeconomic Variables
By Arne Halberstadt; Deutsche Bundesbank
Leo Krippner; Reserve Bank of New Zealand
   Presented by: Arne Halberstadt, Deutsche Bundesbank
 

Evaluating the Interplay of Term Premia, Monetary Policy, and the Economy in the Euro Area
By Fabian Herrmann; TU Dortmund University
   Presented by: Fabian Herrmann, TU Dortmund University
 

Competitive Search over the Monetary Business Cycle
By Timothy Kam; Australian National University
Junsang Lee; Sungkyunkwan University
   Presented by: Timothy Kam, The Australian National University
 

Impact of Foreign Official Purchases of U.S Treasuries on the Yield Curve
By Erin Wolcott; University of California, San Diego
   Presented by: Erin Wolcott, University of California, San Diego
 
Session ID 77: J5 Banks, Monetary Policy and Pass-Through
June 22, 2015 11:00 to 12:30
Room 205
 
Session Organizer: Robert Tetlow, Federal Reserve Board
Session Chair: Falk Mazelis, Humboldt University Berlin
 

Pass-through, Expectations, and Risks: What Affect Chilean Banks´ Interest Rates?
By Michael Pedersen; Central Bank of Chile
   Presented by: Michael Pedersen, Central Bank of Chile
 

Country Spreads and Business Cycles in Emerging Economies: The Role of Cross-Border Banking and Global Liquidity
By Salih Fendoglu; Central Bank of the Republic of Turkey; Center for Economics and Econometrics, Bogazici University
   Presented by: Salih Fendoglu, Central Bank of the Republic of Turkey; Center for Economics and Econometrics, Bogazici University
 

Risky Banks and Macroprudential Policy for Emerging Economies
By Gabriel Cuadra; Banco de México
Victoria Nuguer; Banco de México
   Presented by: Victoria Nuguer, Banco de México
 

The Role of Shadow Banking in the Monetary Transmission Channel
By Falk Mazelis; Humboldt University Berlin
   Presented by: Falk Mazelis, Humboldt University Berlin
 
Session ID 67: J6 Asset Pricing and Portfolio Optimization: Market Stability and Liquidity
June 22, 2015 11:00 to 12:30
Room 101
 
Session Organizer: Xue-Zhong He, University of Technology, Sydney
Session Chair: Yu Tongkui, Southwest University of China
 

Debt and Financial Market Contagion
By Cody Yu-Ling Hsiao; The University of New South Wales
James Morley; University of New South Wales
   Presented by: Cody Yu-Ling Hsiao, The University of New South Wales
 

Capital Adequacy and Liquidity in Banking Dynamics
By Jin Cao; Norges Bank
   Presented by: Jin Cao, Norges Bank
 

The Effects of Hormones on Financial Market Stability
By Subir Bose; University of Leicester
Daniel Ladley; University of Leicester
Xin Li; University of Leicester
   Presented by: Xin Li, University of Leicester
 

Endogenous Formation of Interbank Credit Coalition
By Yu Tongkui; Southwest University of China
Xue-Zhong He; University of Technology, Sydney
   Presented by: Yu Tongkui, Southwest University of China
 
Session ID 57: J7 Indeterminacy and Stability
June 22, 2015 11:00 to 12:30
Room 103
 
Session Organizer: Been-Lon Chen, Academia Sinica
Session Chair: Jang-Ting Guo, University of California, Riverside
 

Progressive Income Taxes as an Automatic Stabilizer in a Two-sector Model with Social Constant Returns
By Yu-Shan Hsu; National Chung-Cheng University
   Presented by: Yu-Shan Hsu, National Chung-Cheng University
 

Asset Price Targeting Government Spending and Equilibrium Indeterminacy in a Sticky-price Economy
By Kengo Nutahara; Senshu University
   Presented by: Kengo Nutahara, Senshu University
 

Towards a New Keynesian Theory of the Price Level
[slides]
By John Barrdear; Bank of England
   Presented by: John Barrdear, Bank of England
 

Progressive Taxation as an Automatic Destabilizer Under Endogenous Growth
[slides]
By Shu-Hua Chen; National Taipei University
Jang-Ting Guo; University of California, Riverside
   Presented by: Jang-Ting Guo, University of California, Riverside
 
Session ID 90: K1 Monetary Policy in Closed and Open Economies
June 22, 2015 13:30 to 15:00
Room 201
 
Session Organizer: Robert Tetlow, Federal Reserve Board
Session Chair: Timothy Kam, The Australian National University
 

External Shocks, Banks and Monetary Policy in an Open Economy
By Yasin Mimir; Central Bank of the Republic of Turkey
Enes Sunel; Central Bank of the Republic of Turkey
   Presented by: Enes Sunel, Central Bank of the Republic of Turkey
 

Designing a Simple Loss Function for the Fed: Does the Dual Mandate Make Sense?
By Davide Debortoli; Universitat Pompeu Fabra
Jinill Kim; Korea University
Jesper Linde; Sveriges Riksbank
Ricardo Nunes; Federal Reserve Board
   Presented by: Jinill Kim, Korea University
 

The Optimal Rate of Inflation Under Schumpeterian Growth
By Koki Oikawa; Waseda University
Kozo Ueda; Waseda University
   Presented by: Koki Oikawa, Waseda University
 

Sustainable International Monetary Policy Cooperation
By Ippei Fujiwara; Australian National University
Timothy Kam; The Australian National University
Takeki Sunakawa; Graduate School of Public Policy, the University of Tokyo
   Presented by: Timothy Kam, The Australian National University
 
Session ID 73: K2 Empirical Macroeconomics II
June 22, 2015 13:30 to 15:00
Room 202
 
Session Organizer: Michel Juillard, Banque de France
Session Chair: Isaiah Hull, Sveriges Riksbank
 

The Aino model
By Fabio Verona; Bank of Finland
Juha Kilponen; Bank of Finland
   Presented by: Fabio Verona, Bank of Finland
 

Destabilising Effects of Bank Overleveraging on Real Activity: An Analysis Based on a Nonlinear Mixed-cross-section GVAR
By Marco Gross; ECB, Frankfurt
Jerome Henry; ECB, Frankfurt
Stefan Mittnik; Dept. of Statistics, University of Munich
Willi Semmler; New School NY, University of Bielefeld
   Presented by: Willi Semmler, New School NY, University of Bielefeld
 

The Impact of the Responsiveness of Monetary Policy on the Housing Market
By Lin Zhang; Henan University, School of Economics
   Presented by: Lin Zhang, Henan University, School of Economics
 

What Broke First? Characterizing Sources of Structural Change Prior to the Great Recession
By Isaiah Hull; Sveriges Riksbank
   Presented by: Isaiah Hull, Sveriges Riksbank
 
Session ID 80: K3 Computational Social Sciences
June 22, 2015 13:30 to 15:00
Room 203
 
Session Organizer: Shu-Heng Chen, National Chengchi University
Session Chair: Agam Gupta, Indian Institute of Management Calcutta
 

How Much Should We Worry About the Polarization Effect of Polarized News Media? Assessment with Agent-Based Simulation
By Frank Liu; National Sun Yat-sen University
   Presented by: Frank Liu, National Sun Yat-sen University
 

Recent Advances in Quantum Social Science
By James Wang
   Presented by: James Wang,
 

The Gameconomics: Inflation Matters?
[slides]
By Byungchul Park; KAIST
Duk Hee Lee; KAIST
   Presented by: Byungchul Park, KAIST
 

Towards an Agent Based Model of Sponsored Search Markets
By Agam Gupta; Indian Institute of Management Calcutta
Biswatosh Saha; Indian Institute of Management Calcutta
Uttam Sarkar; Indian Institute of Management Calcutta
   Presented by: Agam Gupta, Indian Institute of Management Calcutta
 
Session ID 63: K4 Macrodynamic Models
June 22, 2015 13:30 to 15:00
Room 204
 
Session Organizer: Paul McNelis, Fordham University
Session Chair: Paul McNelis, Fordham University
 

China's Economic and Energy Policies Impact on Carbon Emissions Intensity
By Jinhe Jiang; Chinese Academy of Social Sciences
   Presented by: Jinhe Jiang, Chinese Academy of Social Sciences
 

How to Evaluate Money Doctors Objectively: Money Doctors from the West Reconsidered
By Tai-kuang Ho; National Tsing Hua University
   Presented by: Tai-kuang Ho, National Tsing Hua University
 

Welfare Implications of the Chinese Monetary Policy Reform: A Dynamic Stochastic General Equilibrium Approach
By Yu-Ning Hwang; National Chengchi University
   Presented by: Yu-Ning Hwang, National Chengchi University
 

Finding Stability in a Time of Crisis: Lessons of East Asia for Eastern Europe
By Paul McNelis; Fordham University
   Presented by: Paul McNelis, Fordham University
 
Session ID 93: K5 Computational Methods
June 22, 2015 13:30 to 15:00
Room 205
 
Session Organizer: Wei Zhang, Tianjin University
Session Chair: Hui Qu, Nanjing University
 

A New Approach to Measure Randomness and Heterogeneities of the Production System
By Yuji Aruka; Chuo University
   Presented by: Yuji Aruka, Chuo University
 

Technical Trading Behavior: Evidence from Chinese Futures Market
[slides]
By Guanqing Liu; University of Leicester
   Presented by: Guanqing Liu, University of Leicester
 

A Bacterial Foraging Optimization Approach for the Index Tracking Problem
By Hui Qu; Nanjing University
Zixu Wang; Nanjing University
Sunyu Xu; Nanjing University
   Presented by: Hui Qu, Nanjing University
 
Session ID 68: K6 Asset Pricing and Portfolio Optimization: Empirical Asset Pricing
June 22, 2015 13:30 to 15:00
Room 101
 
Session Organizer: Xue-Zhong He, University of Technology, Sydney
Session Chair: Ruipeng Liu, Deakin University.
 

An Empirical Analysis of Stock Liquidity in Financial Bubbles in London Stock Exchange During 1996-2009
By Tsung-Han Hsien; Queen's University Belfast
Youwei Li; Queen's University Belfast
Donal McKillop; Queens University Belfast
   Presented by: Tsung-Han Hsien, Queen's University Belfast
 

The Effects of Grouping Stocks on Estimation and Tests in the Two-pass Cross-sectional Regressions of Asset Pricing
By Jen-Chih Kuo; Yuan Ze University
   Presented by: Jen-Chih Kuo, Yuan Ze University
 

Idiosyncratic Risks, Normality and the Behavior of Hedge Funds in Crises
By Francois Desmoulins-Lebeault; Grenoble École de Management
   Presented by: Francois Desmoulins-Lebeault, Grenoble École de Management
 

A Bivariate Multifractal Model, Its Estimation and Empirical Applications
By Ruipeng Liu; Deakin University.
Thomas Lux; University of Kiel
   Presented by: Ruipeng Liu, Deakin University.
 
Session ID 49: K7 Agent-based Models: Simulation, Calibration and Estimation
June 22, 2015 13:30 to 15:00
Room 103
 
Session Organizer: Thomas Lux, Kiel Institute for the World Economy
Session Chair: Zhenxi Chen, University of Kiel
 

Direct Calibration and Comparison of Financial Agent-based Models with Herding
By Sylvain Barde; University of Kent
   Presented by: Sylvain Barde, University of Kent
 

A Multi-Agent Non-Stochastic Economic Simulator
By Ulrich Wolffgang
   Presented by: Ulrich Wolffgang,
 

Non-Parametric Simulated ML Estimation of Heterogeneous Agent Models
By Jiri Kukacka; Institute of Information Theory and Auto
Jozef Barunik; Institute of Economic Studies, Charles U
   Presented by: Jiri Kukacka, Institute of Information Theory and Auto
 

Estimation of Sentiment Effects in Financial Markets: A Simulated Method of Moments Approach
By Zhenxi Chen; University of Kiel
Thomas Lux; University of Kiel
   Presented by: Zhenxi Chen, University of Kiel
 

80 sessions, 308 papers, and 0 presentations with no associated papers
 
Index of Participants

Legend: C=chair, P=Presenter, D=Discussant
#ParticipantRoles in Conference
1Abbasoglu, OsmanP59
2Ahrens, SteffenP54
3Ajello, AndreaP14
4Akdogan, KurmasP76
5Akinaga, ToshiakiP41
6Akiyama, EizoP40
7Alpanda, SamiP94
8Alsuwailem, SamiP91
9Anderson, GaryC14, C16, P16, C15, C17, C18
10Anufriev, MikhailP45
11Arai, NatsukiP26
12Aruka, YujiC51, P93
13Audzeyeva, AlenaP87
14Bai, JinhuiC60, P60
15Bao, TeP39
16Barde, SylvainP49
17Barrdear, JohnP57
18Barunik, JozefC76, P76
19Baydur, IsmailP28
20Bergholt, DragoC82, P82
21Bertschinger, NilsP89
22Beyer, RobertP42
23Binning, AndrewP70
24Bodenstein, MartinP71
25Cantelmo, AlessandroC83, P83
26Cao, JinP67
27Cardaci, AlbertoP32
28Carpio, RonaldoP69
29Carrillo, JulioC27, P27, P72
30Castex, GonzaloP79
31Catalano, MicheleC43, P43
32Chan, Julian TszKinP33
33Chang, Kuang-LiangP86
34Chen, Been-LonP54
35Chen, ZhenxiC49, P49
36Chen, CenP51
37Chen, AndrewP89
38Chen, Shu-HuaP56
39Chen, QinghuaP38
40Cheong, Siew AnnP35
41Chia, Wai MunP47
42Chie, Bin-TzongP40
43Clemens, MariusC42, P42
44Colombo, LucaP46
45Costain, JamesP46
46Creamer, GermánP91
47Cubas, GermanC23, P23
48Cui, XueP91
49Da Fonseca, JoséC86, P86
50De Pooter, MichielP74
51Deng, KaihuaP18
52Dennis, RichardC84, P84
53Desmoulins-Lebeault, FrancoisP68
54Di Guilmi, CorradoC88, P52
55Diaz, CarlosP76
56Dmitriev, AlexandreC85, P85
57Donayre, LuiggiP61
58Drechsel, DirkP75
59Du, Ye-RongP39
60Duineveld, SijmenP43
61Dumitru, Ana-Maria H.P75
62Duras, JanC28, P28
63Ekapirak, TanyasornP59
64Estola, MattiP38
65Fang, LeiC54, P54
66Feigenbaum, JamesP23
67Fendoglu, SalihP77
68Fiori, GiuseppeP82
69Fisar, MilosP41
70Foerster, AndrewP28
71Furlanetto, FrancescoP81
72Galaasen, Sigurd MølsterC91, P91
73Garin, JulioP56
74Gelain, PaoloP24
75Georges, ChristophreC44, P44
76Gibson, JohnP61
77Gobbi, AlessandroP27
78Goldbaum, DavidC33, P33
79Goshima, KeiichiP2
80Gouri Suresh, ShyamP79
81Grazzini, JakobP43
82Groll, DominikP27
83Growiec, JakubP23
84Gulan, AdamP85
85Guo, Jang-TingC57, P57
86Gupta, AgamC80, P80
87Gupta, SargamP71
88Halberstadt, ArneP62
89Harting, PhilippP79
90Havranek, TomasP31
91Herrmann, FabianP62
92Hiraki, KazuhiroC61, P61
93Hiroatsu, TanakaP22
94Ho, Tai-kuangP63
95Hoerdahl, PeterP64
96Holden, TomP85
97Hommes, CarsC45, P45
98Hsiao, Cody Yu-LingP67
99Hsien, Tsung-HanP68
100Hsu, Yu-ShanP57
101Huang, MeichiP58
102Huang, ZichunP88
103Hull, IsaiahC73, P73
104Hwang, Yu-NingP63
105Iiboshi, HirokuniP30, C30
106Jiang, JinheP63
107Jiang, WeiP23
108Jo, SoojinP26
109Juillard, MichelP16
110Kam, TimothyP62, C90, P90
111Kang, BodaP92
112Kao, Ying-FangC50, P50
113Karibzhanov, IskanderC21, P21
114Khalil, MakramP42
115Kijima, MasaakiC89, P89
116Kim, JinillP90
117Kirkby, RobertP78
118Kociecki, AndrzejC75, P75
119Krause, ChristopherP24
120Krawczyk, JacekP60
121Kristoufek, LadislavP37, C35
122Kukacka, JiriP49
123Kuo, Jen-ChihP68
124Kwok, Yue KuenP66
125Lai, Chih-FangP55
126Lamba, HarbirP52
127Lambertini, LuisaP83
128Lauf, ThomasP32
129Lauretta, ElianaP32
130LeBaron, BlakeC47, P47
131Lebesmuehlbacher, ThomasP94
132Lee, DaeyupP14
133Lee, SeohyunP26
134Lee, Jae WooC34, P37
135Lee, JisangP31
136Lei, XiaowenP25
137Levine, PaulP17
138Lewis, LoganC31, P31
139Li, MenglingP65
140Li, HonggangP37, C36
141Li, KaiC46, P46
142Li, XinP67
143Lim, GuayP60
144Lin, HungwenP18
145Lin, LiP34
146Lin, Hwan C.P15
147Lind, NelsonP22
148Liu, GuanqingP93
149Liu, RuipengC68, P68
150Liu, DingP55
151Liu, FrankP80
152Lopez-Martin, BernabeP59
153Lubik, ThomasP30
154Luo, XiaolinP92
155Ma, XiaohanP25
156Ma, Wen-JongP38
157Ma, Ho FaiP36
158Maih, JuniorP15
159Maliar, SergueiC71, P71
160Maliar, LiliaP16
161Mandelman, FedericoP81
162Matthaiou, MariaP35
163Mazelis, FalkC77, P77
164McCallum, AndrewP17
165McCrorie, RoderickC70, P70
166McNelis, PaulC63, P63
167Meisser, LuziusP44
168Meyer-Gohde, AlexanderP69
169Miwa, KotaroP47
170Miyamoto, WataruP29
171Miyazaki, KoichiC59, P59
172Mizuno, TakayukiP34
173Moldovan, IoanaC81, P81
174Morales-Jimenez, CamiloP25
175Muck, JakubP72
176Munkacsi, ZsuzsaP42
177Munro, AnellaP21
178Murakami, MasatoshiP53
179Namatame, AkiraP51, C52
180Nava, NoemiP37
181Ng, Kok HaurP87
182Nguyen, Thuy LanC72, P72
183Nie, JunC25, P25
184Nuguer, VictoriaP84, P77
185Nutahara, KengoP57
186Oet, MikhailP14, P43
187Ogibayashi, ShigeakiP48
188Oikawa, KokiP90
189Paddrik, MarkP52
190Paiardini, PaolaC2, P2
191Palit, ImonP88
192Palmer, SamuelP15
193Palmer, NathanP17
194Pan, WeiP38
195Pan, Wei-TingP66
196Panchenko, ValentynP33
197Panovska, IrinaP72
198Park, ByungchulP80
199Park, Woong YongP29
200Pedersen, MichaelP83, P77
201Penalver, AdrianP84
202Peng, TaoP58
203Peterman, WilliamC56, P56
204Pfajfar, DamjanC94, P94
205Pfeiffer, PhilippP21
206Phillips, Kerk L.P61
207Pradhan, RudraP87
208Pröhl, ElisabethP17
209Purwono, YogoP70
210Qu, HuiP93, C93
211Raddant, MatthiasP88
212Ravazzolo, FrancescoC74, P74
213Rege, SameerP44
214Ren, FeiP35, C38
215Riegler, MarkusP54
216Rozsypal, FilipC58, P58
217Ruiz-Buforn, AlbaC40, P40
218Sager, ErickP69
219Salle, IsabelleP44, P45
220Sarantitis, GeorgiosP34
221Sarferaz, SamadP30
222Sato, Aki-HiroP52, C53
223Savagar, AnthonyP94
224Schlafmann, KathrinP24
225Schmitt, NoemiC48, P48
226Semmler, WilliP73
227Seneca, MartinP82
228Sengul, GonulP28
229Seok, Byoung HoonP58
230Shen, DehuaP35
231Shi, LeiC65, P65
232Shibata, TakashiP89
233Singh, AartiC22, P22
234Stathakis, EfthymiosP18
235Su, Hsuan-LiP56
236Sun, EdwardP2
237Sun, RongrongP71
238Sunel, EnesP90
239Tai, Chung-ChingP45
240Takahashi, ShuheiC55, P55
241Tasci, MuratP70
242Throckmorton, NathanielC26, P26
243Tongkui, YuC67, P67
244Torii, TakumaP86
245Toriumi, FujioP53
246Tracy, WilliamC39, P39
247Tsao, Chueh-YungP65
248Tungsong, SachaponP75
249Turnovsky, StephenP60
250Ueda, KozoP83
251Ungerer, ChristophC24, P24
252Vacha, LukasP76
253Venkatachalam, RagupathyP51
254Vermeylen, KoenP16
255Verona, FabioP73
256Volkan, EnginP14
257Wang, YuweiC92, P92
258Wang, GuochengP50
259Wang, AshleyP86
260Wang, JamesP80
261Wang, Gang-JinP34
262Wang, YanyiP50
263Wang, QianQianP21
264Wang, ConnieP50
265Wang, Hsin-MienP78
266Wei, MengyangP51
267Westermark, AndreasP81
268Wolcott, ErinC62, P62
269Wolffgang, UlrichP49
270Wong, BenjaminP27
271Wong, Yuet-Yee LindaC87, P87
272Wu, JieC79, P79
273Xing, XiaoyunP53
274Xiong, YibingP48
275Xu, Hai-ChuanP36
276Yamamoto, RyuichiP32, C32
277Yang, Lian-ShengP33
278Yang, ChaoP53
279Yau, RueyC29, P29
280Yeh, Chia-HsuanC64, P64
281Yepez, CarlosP85
282Yim, KyubinP64
283Yu, Hsin-JungP55
284Zadrozny, PeterC69, C78, P78
285Zeng, YanC66, P66
286Zhang, TongP2
287Zhang, JunhuanP48
288Zhang, XinP74
289Zhang, YangruiP36
290Zhang, YuP47
291Zhang, LinP73
292Zheng, TianxiaoP29
293Zheng, MinP65
294Zheng, XiaolianP18
295Zheng, HarryP66
296Zhou, Wei-XingC37, P36
297Zhou, XuanP64
298Zhou, ChenP74
299Zhou, YanC41, P41
300Zhu, MeiP46
301Zhukova, AleksandraP92
302Zilberman, RoyP22

 

This program was last updated on 2015-06-18 10:10:27 EDT